"as the Universe expands, photons lose energy. But that doesn't mean energy isn't conserved; it means that the energy goes into the Universe's expansion itself, in the form of work."
-- https://www.forbes.com/sites/startswithabang/2015/12/19/ask-...
-- https://www.forbes.com/sites/startswithabang/2015/12/19/ask-...
You can rescue it with pseudo-tensors, but then you force the existence of a preferred reference frame. Which undermines the principles of GR.
Some still argue for that. Others don't.