Yes, well, sort of. Energy can be a bit tricky to keep track of in general relativity, and it's important to be precise about what we mean by energy. In this case the issue is whether the light is red shifted. The red shift does reduce the energy of individual photons, though overall the energy is not lost - it's just diluted.
You probably know that the light from distant galaxies is red shifted due to the expansion of the universe (the cosmological red shift) so all light reaching us from distant parts of the galaxy is red shifted. However the light reaching us that has passed through the supervoid is red shifted more that the rest of the light that didn't pass through the void.
If you shine light into a gravitational potential well it is blue shifted as it falls into the well and redshift when it emerges. This is known as the gravitational red shift (or blueshift) and it's been experimentally measured on Earth. Conservation of energy means the red shift when emerging has to match the blue shift on entering the well, so the net energy change is zero. Overall the light can neither gain nor lose energy. With a void we get the opposite effect - the light red shifts as it enters the void and blue shifts as it leaves the void, and just as with a gravity well, under normal circumstances the red and blue shifts would be the same.
However when you have an object as large as the supervoid, the object is increased in size by the expansion of the universe while the light is passing through it. This means the red shift the light experiences on entering the void is different to the blue shift the light experiences when leaving the void. The end result is that there is an overall red shift that is greater than if the void was not there.
If you're interested to know more, this effect is known as the Integrated Sachs–Wolfe effect, or more precisely the late-time integrated Sachs–Wolfe effect. The effect only happens because the expansion of the universe is currently accelerating, or more precisely it was accelerating when the light we see passed through the void about 3 billion years ago. The accelerating expansion tends to smooth out density differences, so in effect the void was shallower when the light left it than when the light entered it and hence the frequency shift of the light was different.
It has been suggested that the void is the cause of the CMB cold spot. The argument is that for light crossing the void the ISW effect reduces its energy enough to explain the lower temperature.