Black holes have a mass that is the same or less then the mass of the star that collapsed into the black hole. If there is a nova event connected to the collapase, most of the mass will be scattered into space, if the remaining mass is large enough then it will collapase into a black hole.
It should be noted that black stars don't have an immense gravitational field. From far away, a black hole acts just like a star, or a planet. It's only when you get really close to a black hole that the gravity starts acting strange... because gravity is proportional to the distance from the center of an object squared, if you're, say, standing on the surface of the earth, you're 4,000 miles from the center of the earth. A black hole with the mass of earth, however, may have a radius of 4 miles. So if you're 10,000,000 miles away from earth, it has the same gravitational pull as if you're 10,000,000 miles away from the black hole. But if you're 1 mile above the surface of the earth, you're 4001 miles away from the center. If you're 1 mile above the surface of the black hole with the same mass, you're 5 miles from the center
I haven't heard of "conservation of mass", only conservation of energy. But, since mass = energy (e=mc2) I guess it could be called either.(?)
A BH can form from several methods; direct collapse of a massive star, large core remaining from a Type II supernova, merger of two massive bodies etc. Any BH formation mechanism causes some mass loss and since mass = energy, some "mass loss" is carried away as EM radiation, gravitational radiation and sometimes conversion of angular momentum.
So, mass/energy will actually remain at the same total, just not all as "particles of matter".