Energy is defined more in the mathematical sense, and tends to show true with observations in the physical world.
You are putting the cart before the horse in the above statement. Conservation of energy is an experimental fact, as is conservation of momentum. The mathematics came in order to model this experimental fact, and Noether's theorem is the most elegant form
But why is energy conserved aside from "Noether's theorem"?
Energy is conserved in local sense because it is an experimental fact, once special relativity solved the nuclear problem. In a sense we have defined energy so that it is conserved, have found mathematics that describe the situation, and the mathematical theory is validated continually with all the data and the new observations.
In a closed system that has an energy E, we know that system will always have this much energy, but why?
It is an experimental fact, having formulated all the types of energy, potential, internal, chemical, nuclear so tat the statement is true and can be fitted by the theories that have been developed.
In the cosmological scale I heard that energy is not conserved, why?
This is true in some cases because conservation requires a unique definition of time (quantities are conserved in time), and general relativity introduces deformations in time. When looking at local environments, the observations of energy conservation still hold.
Is the universe creating more energy?
As with all other conundrums when experimentally energy seemingly was not conserved, new energy forms were postulated, ( as with nuclear energy and the special relativity frameworkd) a new form of energy ( mass as energy) was defined that helped in keeping conservation of energy strict and true. In the cosmological scene the job is taken up by what is called "dark energy", but as I said the concept of energy is still under discussion in proposals for different cosmological models and boundary conditions.
Is the expansion of the universe due to the energy at the beginning that caused it's creation?
Well, dark energy and inflation are tied up together in the current Big Bang model. It is still a main point of research in astrophysics.