Please tell me what I did wrong
It takes General Relativity (GR) to describe black holes and, in GR, energy conservation is, well, subtle.
From John Baez's Relativity FAQ "Is Energy Conserved in General Relativity?":
In special cases, yes. In general — it depends on what you mean by "energy", and what you mean by "conserved".
So, in general, one must reason very carefully about energy conservation when the context is relativistic and, certainly, black holes and photons are relativistic.
However, it is the case that photons falling through the event horizon increase the mass, and thus, energy of the black hole. See this related question: Why do photons add mass to a black hole?