Is energy always conserved?

tl;dr You may be right, energy could be lost from the universe. But it's insufficient to use the redshift and Noether's theorem as a justification.

The law of conservation of energy can be derived in any field theory of physics using Noether's theorem which says that it follows from the fact that the laws of physics do not change with time. Amazingly some cosmologists have become confused by the fact that the universe is expanding so that they think Noether's theorem does not apply. This is wrong. Noether's theorem only requires that the equations of the theory are unchanging, not the solution. The universe may change as it expands but the way in which it expands is the solution to equations that do not change with time.

The first formulation for energy conservation in cosmology was given by Einstein in 1916 shortly after formulating the theory of general relativity. Other formulations have been written into well-known textbooks including those by Landau and Lifshitz, Dirac and Weinberg. All these formulations for energy are equivalent. They can also be found in Wikipedia under pseudo-tensors. For people who don't like pseudotensors there is a covariant formulation due to Komar. There is no excuse for anyone who works with general relativity not to understand how the law of conservation of energy works in cosmology.

The equation for energy in the standard cosmological models for an expanding universe including radiation and dark energy as well as ordinary matter can be derived from these formulations and is as follows:

E= Mc^2 + Γ/a + (Λc^2/κ)a^3 − (3/κ)a˙^2a − Ka (= 0?)

E is the total energy in an expanding region of volume a(t)^3.This always comes to zero in a perfectly homogeneous cosmology.

a(t) is the universal expansion factor as a function of time normalised to 1 at the current epoch. It started as zero and increases with time as the universe gets bigger.

a˙ is the derivative of a(t) with respect to time, in other words it is the rate of expansion of the universe.

M is the total mass (momentum) of matter in the region

c is the speed of light

Γ is the density of cosmic radiation normalised to the current epoch 

Λ is the cosmological constant also known as dark energy, thought to be positive.

κ is the gravitational coupling constant. In terms of Newton's gravitational constant G it is κ=8πG/c^2

K is a constant that is positive for spherical closed space, negative for hyperbolic space and zero for flat space.

This equation tells us that the positive energy in matter, radiation and dark energy is perfectly balanced by a negative quantity of energy in the gravitational field that depends on the rate of expansion of the universe. As the universe expands the length scale a(t) increases. The amount of energy in ordinary matter Mc^2 is constant in an expanding volume. The radiation energy Γ/a decreases due to cosmic redshift and the amount of dark energy  (Λc^2/κ)a^3 increases as the volume expands. The rate of expansion must adjust (that is, if the energy comes to a total of zero. But we don't know yet what the total energy of the universe is or whether it is even a constant. At best, we can look at the current evidence, which all points towards the universe likely being very flat with a total energy of zero. But who knows? Further details and simple explanations can be found at pbs spacetime) so that the negative gravitational energy balances the sum of these energies. In particular the dark energy must eventually become the dominant positive term and the expansion of space accelerates to balance the energy equation. (which is what we've observed).