No. You can think of this energy as being transferred from kinetic into gravitational potential energy. For an infinite but 'flat' universe with Omega = 1.000, this transfer will be complete so that after an eternity, the energy will be totally in gravitational potential energy. For an infinite but 'hyperbolic' universe, there will still be a slight amount of kinetic energy left over after eternity. As for the cosmic background radiation, its energy remains te same, its just that the peak of its energy slides from gamma-ray energies to longer and longer wavelengths as the universe gets older.