Energy isn't always conserved. Energy isn't meaningfully conserved in an expanding spacetime. And the mass-energy of the universe had to come from somewhere. It's entirely possible that whatever process created the mass-energy of the universe could someday be discovered and duplicated on a smaller scale. Truly unlimited energy sources may be possible. Or perhaps, an energy source whose only practical limitation is the amount of waste heat you can dissipate.

And while I would be extremely skeptical of any human who claimed to have invented such a machine today, we have to consider the timelines. If an alien species comes to visit you, they are likely far older than your species. And not just a few decades or a few centuries ahead. If we were visited by aliens, odds are that they were a technological species millions of years before we even mastered basic spoken language. We cannot know what we cannot know. And aliens visiting us have had eons to plumb the depths of reality to try to locate a free energy hack.