If by conservation of energy you're referring to the first law of thermodynamics, then it's completely inappropriate to invoke as an argument for "no energy is

If by conservation of energy you're referring to the first law of thermodynamics, then it's completely inappropriate to invoke as an argument for "no energy is free". The energy in solar power is coming from the Sun. While there are various costs in capturing the radiation, converting it into some other form (like electricity) and shipping it around the globe, those costs have nothing to do with the first law of thermodynamics.