I could see this question being asked on Physics SE as well, since it concerns the law of conservation of energy at its core.
Wizards in the world of Harry Potter seem capable of almost effortlessly performing feats of destruction. Concentration may be required, but they don't put hardly any physical work into their actions. Dark wizards destroy buildings, explode stuff, and fly around at whim. While magic in Harry Potter seems to usually create entropy, it may also reverse entropy. Slughorn used magic to clean his room on Dumbledore's visit without any physical work put in. Obviously they're doing work which requires energy, but where does this energy come from?
Even if JK Rowling has some sort of extra-dimensional pool of magic energy the wizards pull from, other universes don't do this.
- Pokémon may cast Blizzard and Ice Beam as regularly as Fire Blast, Hyper Beam, and Flamethrower. Ice techniques in Pokémon obviously remove significantly more energy than the caster put into the attack. I think Mewtwo also created his island fortress almost at whim in the first Pokémon movie.
- Almost any Square Enix game (except FF7. They literally had a pool of magic energy).
- X-Men telepaths can effortlessly assemble mansions and destroy continents. Iceman can also create endothermic reactions on a large scale just by thinking about it.
- Star Wars with force users
- Insert your favorite universe here
It follows that if we were capable of creating energy from nothing, then we could also effortlessly undo entropy and restore order. Say we had a group of magic users capable of violating the laws regarding conservation of energy at whim in our universe. By extending their hands they can freeze stuff, blow stuff up, and assemble buildings. Could these people set out to stop heat death of the universe?