Well, it gets a bit complicated there. Becoming clumpy does relate to a loss of energy, but the way that gravity works, things that become more clumpy tend to have higher temperatures. This is a statement that the specific heat of gravitational systems is negative. So, for instance, as a cloud of gas collapses into a star, it loses total energy, but ends up getting hotter as the gas falls lower and lower into the potential well.
One thing to bear in mind is that the way entropy interacts with gravitating systems is not simple, and cannot be directly related to the usual thermodynamic concepts we're used to. In fact, except in very special circumstances, we don't even know how to calculate the entropy of a gravitating system.