For red shifted photons, the energy is inversely proportional to their wavelength. So, a "stream of light" (presumably many photons) emitted over a shot period of time, when traveling through space that stretches by some factor "X" will have stretched the photons to have 1/x their initial energy but will have also stretched the length of the beam (between "on" and "off") by a factor of X. So, the time it takes for the whole beam to arrive at an observer is increased by a factor of X. So, a beam of photons with energy decreased as 1/X lasting for a time period increased by a factor of X should result in X times 1/X = 1 times the total amount of energy transmitted.
So, the energy seems to not have increased or decreased due to the expansion of space.
How one envisions this at an individual photon level might be an issue - how "long" is an individual photon? But it works fine using the continuous wave approach.
That is different from the issue about the different frames of reference for the photons, (which always appear to be traveling at the speed of light in all frames of reference). As bill has explained, using kinetic energy of particles of matter (instead of photons), the energy levels of particles traveling at different velocities do not seem to be have the same total kinetic energy in all frames of reference and will not give the same calculated result for total energy of a "system" of particles. E.g,. the kinetic energy of his speeding bullet hitting a heavy, zero-velocity target looks like 1/2 the mass of the bullet times the square of its velocity from the target's frame of reference, while, in the bullet's frame of reference, it looks like that heavy target is speeding towards it, with a kinetic energy that is 1/2 the mass of the target times the square of the same relative velocity. So, the total kinetic energy of the pair changes drastically by changing the frame of reference.
Similarly, the photons in expanding space will seem to have different energies to observers traveling at different speeds with respect to each other in the different parts of the expanding space, even though they all measure the speed of the photons as the same speed of light.