Momentum should not be confused with energy. In some cases momentum is
conserved but energy is definitely not.
This is indeed a confusing way of putting things. The first sentence is clear and unequivocal.
But the latter sentence should really read:
Momentum is always conserved but kinetic energy is not always conserved($^+$).
The latter part of this statement refers to energies that arise from non-conservative forces.
So I want an example of a system where momentum is conserved but not
energy.
Consider the so-called ballistic pendulum:

A bullet of mass $m$ and uniform velocity $v$ is fired into a soft bob of mass $M$. After collision bullet and bob do not separate and they reach height $h$. So the collision is entirely inelastic.
We know kinetic energy is not conserved here because for the bob and bullet to permanently unite the bullet must deform the bob, thereby doing work on it. There are other non-conservative energies at play here, so we can't apply simple conservation of energy.
But we can apply conservation of momentum, before and after the collision:
$$mv=(m+M)V$$
where $V$ is the velocity of bullet plus bob, immediately after the collision, so that:
$$V=\frac{m}{m+M}v$$
Post-collision, in the absence of air drag and other frictions, conservation of energy now does apply:
$$\Delta K=\Delta U$$
$$\frac12 (m+M)V^2=(m+M)gh$$
$$\frac12 \Big(\frac{m}{m+M}\Big)^2(m+M)v^2=(m+M)gh$$
So that:
$$h=\frac{1}{2g} \Big(\frac{m}{m+M}\Big)^2 v^2$$
So how much energy was 'lost' (not conserved)? Just look at the TOTAL energy balance:
$$\frac12 mv^2=(m+M)gh+E_{lost}$$
With everything else known, $E_{lost}$ can easily be calculated. It calculates to:
$$E_{lost}=\frac12 \frac{mM}{m+M}v^2$$
It's basically the kinetic energy that was lost during the inelastic collision.
If we express it as a ratio:
$$\frac{E_{lost}}{\frac12 mv^2}=\frac{M}{m+M}$$
So if $M\gg m$ then the ratio becomes $1$: ALL of the bullet's kinetic energy is 'lost'.
($^+$) Re. conservation of energy, please note what I wrote in the comments:
If you consider ALL energies, including those stemming from
non-conservative forces, then energy is ALWAYS conserved.
But as it happens, in some cases several energies are very hard to know, in the example above e.g. the work done by the bullet on the bob, noise from the collision, heat from friction etc.