I've just read the FAQ about this and IMO it is "not even wrong" to say that energy conservation doesn't apply to Cosmology. The fact is energy conservation is clearly stated in the EFE by the vanishing divergence of the stress-energy tensor and since GR is the theory we currently use in Cosmology, cerrtainly energy is conserved in cosmology. There seems to be some silly confusion in that FAQ answer, the fact that currently the global energy can't be defined doesn't imply "energy is not conserved in cosmology", just like we don't say that since there is no "standard" way to define the total entropy of the universe it follows that the 2nd law of thermodynamics does't apply in cosmology. It can be said that since we can't get out of the system called "universe", there is no easy way to define the universe energy unless we introduce a time-symmetry (Noether theorem). But that is a feature of the way we define energy. It doesn't have anything to do with GR.