Where does the energy go from photons that are redshifted by the expanding Universe?
It doesn't go anywhere. It's a Doppler shift. If you were comoving with the distant galaxy right now, you'd see the photons at exactly the frequency that the source sent them. If you were comoving with the Milky Way back when the photons were emitted, and were close to the source, you would see them as redshifted as we see them today. The photons haven't changed at all; it just that frequency depends on point-of-view.