Recession velocity is added to the velocity due to the expansion of space. It is the sum of the two that defines the amount of red shift of any photon.
Your question:
"Do we have any actual experimental observations that show that energy is not conserved in stretched space?"
Yes, when we look at the hydrogen alpha line from a distant galaxy it is red shifted to a much lower frequency. It has a lower energy as viewed in our frame of reference. In the emitting frame of reference the photon is at its original higher frequency. Thus energy is not conserved in two different reference frames.
Your question:
"Do we have any actual experimental observations that show that energy is not conserved in stretched space?"
Yes, when we look at the hydrogen alpha line from a distant galaxy it is red shifted to a much lower frequency. It has a lower energy as viewed in our frame of reference. In the emitting frame of reference the photon is at its original higher frequency. Thus energy is not conserved in two different reference frames.