There are certain answers to the above question

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.