Hmm. Wait, why can't you simply add vectors in curved spacetimes?
Well, you
can, as long as both vectors are at the same point. That is, you can find the relative velocity between two objects
only as they are passing one another. Once the objects are far away, you can no longer simply subtract their velocities: the curvature of space-time in between the objects makes the definition of vector subtraction ambiguous.
So it shouldn't be a surprise that if you only examine what goes on at a single point, you get energy conservation just fine. It's only when you start dealing with large regions that this starts to break down.
Why does not being at the same place matter? Well, this comes down to the curvature. There
is a way in General Relativity to move a vector from one place to another, for example. This is called parallel transport. What parallel transport means is that you move the vector along some path between two points, keeping it parallel to itself as it moves. Sounds reasonable, right?
Well, here's the kicker: in curved space-times, the vector you get as a result depends upon the path you take! What this means is that ultimately, any sort of vector subtraction you try to do between points far away will depend upon how you define your terms.
Edit:
Just to drive the point home, I thought I'd take a simple example. Imagine, if you will, a vector on the surface of the Earth. Let's start out with this vector at the North Pole, and the vector points along the surface, let's say towards 0 degrees longitude. What happens if we parallel transport the vector along the 0 degrees longitude line to the equator? Well, the vector will always point along the surface, pointing in the direction it's moving, so that when the vector reaches the equator, it will be pointing due south.
Now let's try another path. Instead of moving this vector along 0 degrees longitude (which goes through England), let's move it along 90 degrees longitude (which goes through the US). Now the vector is not pointing along the direction of motion, but perpendicular to it. Its direction along that motion, then, will always be due east, up until it reaches the equator. Then, if we move the vector along the equator back to 0 degrees longitude, it will still be pointing due east.
Because of the curvature of the Earth, then, there is no way to say unambiguously how to do vector subtraction between two different places on the surface of the Earth.