Edit: I just looked into this & there are a few explanations for what is going on. Both general relativity & quantum mechanics are incomplete theories but there are several explanations that account for the seeming losses that seem reasonable to me.
1. Lie groups describe local symmetries. Nothing about the global system
2. From a SR point of view, energy in one reference frame does not have to match energy in another reference frame. Just that in each of those reference frames, the energy is conserved.
3. The conservation/constraint in GR is not energy but the divergence of the stress-energy tensor. The "lost" energy of the photo goes into other elements of the tensor.
4. You can get some global conservations when space time exhibits global symmetries. This doesn't apply to an expanding universe. This does apply to non rotating, non charged black holes. Local symmetries still hold.
But there's a much more striking example that highlights just how badly energy conservation can be violated. It's called cosmic inflation. General relativity predicts that if empty space in a 'false vacuum' state will expand exponentially. A false vacuum occurs if empty space has excess energy, which can happen in quantum field theory. But if empty space has excess energy, and more space is being created by expansion, then new energy is being created out of nothing at an exponential rate!
Inflation is currently the best model for what happened before the Big Bang. Space expanded until the false vacuum state decayed, releasing all this free energy to create the big bang.
Alan Guth's book, The Inflationary Universe, is a great book on the topic that is very readable.