Does the redshifting of photons from the Universe's expansion violate conservation of momentum? The energy-momentum relation,

$$E^2 = m^2c^4 +p^2c^2,$$

lets us derive the momentum of a massless particle:

$$p = \frac{E}{c} = \frac{h\nu}{c}$$

However, the expansion of the Universe redshifts light. This should decrease the momentum of photons. Where would the momentum go, in order for conservation of momentum to hold?
In relativity you can think of a single conservation law that unites conservation of energy and momentum -- conservation of four-momentum. Energy and momentum are the zeroth and the first to third components of the four-momentum respectively. Such conservation laws arise from invariance of the Lagrangian with respect to a translation in space-time coordinates.

In General Relativity these conservation laws are local concepts that (most people think) can only be applied in local, inertial (flat) frames of reference. In particular, they cannot be applied in changing space-times and so cannot be applied to situations involving the expansion of the universe.