The measured energy of the quantum system is not conserved across measurements unless the quantum system only has a single energy eigenstate.
This should be a boring statement. To measure a quantum system is to entangle its state with the state of something our macroscopic selves can actually measure, with which it could exchange an unknown amount of energy.
As to whether total system energy including the entangled macroscopic system is conserved, I'm fairly certain it's logically impossible to even ask the question. If you know the total system energy before you do the experiment, and you know the total energy of the macroscopic system before it is coupled, then you already know the energy of the quantum system, which means that it must already be in a particular energy eigenstate, not in a superposition of energy eigenstates. But energy conservation across measurements for a system in a superposition of energy eigenstates was the entire thing we wanted to ask about in the first place.