Just 'cause something is a property of relativity, doesn't mean it's an illusion..? Just that it's open to interpretation.
Einstein used better language than I did! He understood that he needed to properly define things, not least because everyone hangs off his every word. I'm just a dude with a spliff.

By "illusion" I simply mean things aren't always as they appear. Gravitational lensing would certainly qualify as an illusion, even though it's very real. Gravity itself is an illusion, we observe acceleration when it's actually constant speed in straight lines in curved space, but gravity is still real. I don't mean "illusion" to describe something we observe that doesn't really exist. Just that our intuitive interpretation of something is inaccurate.

Something is missing from our understanding.
If light is "losing energy", then is this not evidence of extradimensions? We know how much space is expanding, right? So we can calculate what we should expect the energy of a photon to be after is has passed through a known amount of space. It's not going to be inverse square because the expansion is, mathematically, a new dimension, but if we know the value of this expansion then we can factor this in. If there's still something missing, then that for me looks good for string theory. It's going to be really difficult for us to detect gravity in these extra dimensions, but light? Much easier because we can actually see it, measure it with astonishing accuracy. If we couldn't measure it that accurately we wouldn't even be talking about an apparent violation of conservation of energy, because it would be assumed to be measurement issues.

I think string hypothesis might have an answer to your problem here buddy.