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Dear Leigh and anyone else who thinks he might be right:
The discussion in Chapter 5 [in MTW] seems to be about 4-momentum, one
component of which is the energy. While Taylor and Wheeler do speak
(somewhat inelegantly) of the flow of 4-momentum in a fluid-like way:
Total flux of 4-momentum outward across a closed
three-dimensional surface must vanish.
They make no such claim for energy *per se*.
Can you construct a syllogism? Energy is one component of the
four-momentum. Each component of the four-momentum is locally
conserved. Therefore energy is locally conserved.
(Are you bothered by the fact that energy is frame-dependent?
That's true for any component of a vector, and has no effect
on conservation, so long as the other components are also
conserved so the conservation law will be true in all (inertial)
frames.)