Ok let me start with two comments.
1.) If you don't accept there is a god then by definition you must believe that conservation of energy can be violated because we have a universe and to get here it had to be violated.
2.) In QM conservation of energy is not absolute because we have uncertaintity principle for very small QM fluctuation time you can borrow energy so long as it is not measured or observed. We see this most dramatically in quantum tunnelling and in quark behaviour inside atoms and in things like nuetrino oscillations.
So in answer to your question within QM this is most certainly studied and researched and heavily thought about.
With the advent of attosecond timing within the last two years there has been keen interest in looking very very closely at quantum tunnelling
This might provide some interesting reading http://arstechnica.com/science/2012/05/timing-quantum-tunneling-to-attosecond-precision/
At a "macro" level there is almost no interest in conservation of energy aside from a few fringe scientists who believe in the whole perpetual energy thing. As you know there are no "macro" level theories that are compatable with allowing violation of conservation of energy or perpetual energy.
Around now the whole "macro" versus QM result should be ringing a familiar alarm bell like say GR/SR versus QM. Two seemily different interpretations that somehow manage to coexist seemlessly in the world.
You probably can see there is one factor we understand little about but is vital in both interpretations our friend TIME.
Infact if we rewrite things a little different it becomes even more obvious
QM => The conservation of energy in time is a well defined and can not be violated.
GR/SR => The conservation of energy in spacetime is well defined and can not be violated.
Finally I will throw in one more small piece in QM there is no universal time operator there is only time within the context of the probability wave. So QM time does not have to be the same as GR/SR spacetime within an observation reference frame.
See the very small crack of possibility opening the two times may not be the same.
NASA has had a proposal to test the theory since 2004
I am guessing the lack of progress is something to do with the costs versus trying to convince politicians to spend alot of money to test a clock.
A very tentative sort of idea they are thinking about is can a huge gravity create a timeshift from a QM time and then borrow some energy in th QM domain and then snap the whole setup trapping the energy.
Personally I find it all a bit contrived I would like some more research with the implications of the higgs and know if dark matter/energy is real before speculating.
However as per your question theortical scientists need to think seriously about this stuff and do.