I'm a long way from knowing (treat my attempts to teach myself as fresher-level), but I think energy conservation is supposed to be equivalent under Noether's Theorem to time translation symmetry, but GR doesn't have universal time, so energy isn't conserved? (Assuming I'm even correct about any of that, I definitely don't understand what gets conserved instead of energy in GR).
This is pretty much it, GR does not generally conserve energy due to lack of time symmetry. Energy is conserved in specific space time geometries (which happen to be common).