Magic does not follow the laws of thermodynamics. Enchantments can trivially make free energy.
More specifically, magic doesn't need to violate the laws of thermodynamics when there's an infinite pool of energy right there in the warp.
Also, even assuming that we expect WF to follow our laws of physics plus a magic term, we wouldn't expect conservation of energy anyway, because that depends on a 'regular' (there's rigorous definition of what that means, but it does not fit the margins of this post) flow of time. Which the Aether does not have. So no energy conservation anyway.
Incidentally, you might ask if a regular flow of time is required, what about Einstein's relativity? Does
it have energy conservation? In general, no! In the special case of Special Relativity, time might get a little stretchy, but it's still regular enough to work (otherwise the famous E^2=mc would make no sense). But for General Relativity, it's not generally the case.
If you can find a killing vector, which is an expression of regularity, then you are back in business, but this is not the case for all mathematically possible spacetimes. The typical assumption among physicists is that it is the case among all
physically possible spacetimes, but we don't know that because the maths are a bitch and the theory is incomplete anyway.
This post is brought to you by my excitement about my favourite, tragically unknown physics fact. Aspect. Theme. Something.