Magic certainly seems to violate conservation of energy. When something seems to violate a conservation law, there are two main alternatives. One, the conservation law might not hold. Or two, our understanding of reality is incomplete and the seeming imbalance is balanced outside our previous consideration.
The question when comes: How likely are we to have missed something that could balance out the seeming violation? With hypotheticals like magic, time travel, and macroscopic teleportation with corrected momentum the answer to that is that they require something beyond our current consideration already. As such there is never real logical reason to think they'd violate conservation laws.
The consequence of this is that there is no reason to think magic would have to change from what we expect to preserve conservation laws. Giving some appearance of having considered the issue will make the system more believable to many people, but that is just an emotional response. No logical reason requires it, unless your goal is to really explain magic exhaustively, that is, to uncover the hidden mechanics of it. Which unless you can demonstrate magic in the real world is probably better left undone.
A sidenote to those with very good memories, the logic is essentially the same as in my time travel vs conservation of energy answer, but this time I am actually trying to explain it in a way that is possible to understand.
PS: This answer probably seems like I am going around the question with vague platitudes. But sadly enough physicists currently label vast majority of the known universe as dark "something". As such, having the effect something hypothetical has on baryonic matter seem to violate conservation laws really is meaningless. All it really tells us is that physicists would be willing to spend ridiculous amounts of money for a way to experiment with it.
Zero ups on answer and bowlturners comments made clear he did not understand my meaning. I think it is safe to say I need to give a better explanation. I think some examples how the idea works would be easiest. Probably long and boring, but... The basic issue seems to come up relatively often, so it might be worth the effort.
I'll start with the trivial example: forward time travel. Time traveller pops into time machine at time A, pops out at time B, and there is no sign of him in between or any form of energy bleed. It seems clear conservation of energy has been violated. After all there is one traveler worth of energy missing between times A and B.
Except there really is not. For time travel from time A to B to be possible the times A and B must be connected. There must be a path that allows the passage of a human intact between the two times. That path can contain the missing energy and if the energy contained by the path equals the missing energy everything is fine. Given that we know the path contains the energy of the time traveller passing thru it and that we were missing one traveller of energy and that the path covers exactly the same time where energy was missing, we actually know this is true. Conservation of energy preserved!
Backward time travel is less trivial or to be more exact, if it existed the implications would be non-trivial. Lets say our intrepid time traveller pops in at time B and comes out at time A. Now outside A-to-B everything is fine, but A-to-B there seems to be one traveller of excess energy. It is probably easy to see the next step: If you seem to be missing energy between A-to-B and you have path going from B-to-A with the exact correct magnitude of energy with direction of time reversed and switching the sign on energy... The numbers match up again...
At this point I really need explain how this is related to magic and conservation of energy, you know, the actual question. It comes down to a very simple question: "Why did most people not consider the path used for time travel when considering conservation of energy?" The answer is equally simple: "Because we know we do not need to consider such things." More than that we actually know that a claim that "Conservation laws are preserved you just can't see it!" is a sure sign of really bad physics and almost certainly false. In other words, we know how conservation of energy is supposed to work and we know that that understanding is solid enough that anything contradicting it is almost certainly false.
Problem is that this knowledge has some big built-in assumptions in it that even people who understand the physics far better than I do usually forget. Specifically, it is assumed that hypothetical effects that have never been observed despite being easy to spot due to appearing like flagrant violations of the conservation laws can be ignored when considering how conservation laws work. For example, you can and should ignore the idea of a wormhole between times balancing the energy, since in practice considering such has never been necessary. Which means they must be rare enough that ignoring the possibility is the correct default. Or the existence of a "mana field" that acts as a sink or source to balance out spells. I mean that would be really obvious, so claiming something like that exists and solves your conservation law issue is an obvious case of hand-waving and needs to be rejected. We know that is not how conservation laws work!
Except, if you engage in speculation. Then you must adjust your assumptions to be consistent with your premise. If you assume time travel works, whether for a setting or a thought-experiment, you must also take worm holes into account when considering conservation of energy. The fact that you do not need to when time travel and worm holes are unknown is no excuse. If you assume a world where magic exists and creates spectacular effects thru manipulation of all pervading magical energy, then you must take the existence of that energy field into account when considering conservation laws. You can't first say "magic exists" and then continue by assuming that conservation of energy must work the same way it does without magic.
This might seem like quibbling but it is actually a very serious and fundamental question. The conservation laws are based on the symmetries and invariants existing in the reality. If an aspect of reality interacts very weakly with what we are interested in, it can be ignored. For example, it is not really necessary to consider "dark matter" when doing chemistry. But if we are specifically considering something like time travel or magic that is fundamentally based on interaction between "mundane" and "speculative" and try to ignore the "speculative" part when considering conservation laws... It cannot work. Considered separately, the parts will not have symmetry. It may look like conservation laws are being violated, but in reality they simply do not apply to asymmetric fragments, they apply to the whole interacting system.
In summary, you cannot assume magic exists and then assume that existence of magic does not affect how energy is conserved. It is not even possible. Only way "magic" can be ignored when considering conservation laws of "magical effects" is if "magic" does not interact significantly with "magical effects". Apart from being silly this would imply that "magic" is not relevant for existence of "magical effects" and they would be just as likely to exist in our no-known-magic world as in a high-magic fantasy world. Pointless.
Hope somebody will read this. Hope it is somehow useful to someone. But TBH I mostly wrote this to clarify my own thinking on the subject. There have now been two questions where this, the nature of conservation laws with hypothetical effects assumed, has come up and both times I pretty much totally failed to communicate my thinking. Next time I will be ready!