A CMB photon has been traveling since recombination, and the expansion has stretched its wavelength about 1,100-fold: it has lost 99.9% of the energy it started with. Where did that energy go?
Solution
Nowhere — the question assumes a ledger the universe does not keep.
Conservation laws are bought with symmetries: energy conservation, in particular, with time-translation invariance — in geometric language, a timelike Killing field. An expanding FLRW universe has none; there is no global “total energy of the universe” whose books must balance, so no account the photon’s loss must be debited from. (In a static spacetime the ledger exists: Schwarzschild redshift really is bookkept, via the Killing field, between photon and gravitating source.)
What survives everywhere is the local law — a continuity equation, not a global conservation law. For the cosmic fluid it reads : dilution for dust (), dilution plus one extra factor for radiation () — and that extra is exactly the redshift. Kinematically, each comoving observer the photon passes is receding from the last one who measured it: energy is observer-dependent, , and a chain of mutually receding observers simply records ever-smaller values. Nothing is lost to anywhere; there was never one number to conserve.
Deeper in the notebook: 02. Redshift · 02. Noether’s Theorem in GR · 07. Killing Vectors and Isometries · 01. The Friedmann Equations and Cosmic Dynamics