According to the 2nd law of thermodynamics, no system can be a 100% efficient. Looking at the universe as it's own system, is it an exception to the rule (a system that doesn't lose any energy)? If not, are there any theories that suggest where the energy go?
According to the 2nd law of thermodynamics, no system can be a 100% efficient
No system can be 100% efficient at turning heat into work, and this applies to the universe too. That's why the universe is (probably) headed towards heat death.
You've got a bit mixed up about what efficiency is. You say a system that doesn't lose any energy, but this applies to any closed system. Though having said that, energy is (probably) not conserved in the universe as a whole. I say probably because I have seen arguments on the subject between general relativists on this site and I'm not competant to judge the outcome!