When you brake you generate a ton of heat.
Doing a U-turn generates less heat, but still quite a bit. The train will have to slow down depending on the radius of the curve, and even then the turn will slow it down some more.
But yeah, less heat generation means kinetic energy is conserved.
Cars have to slow down when they turn because it’s too much to ask of the tires to accelerate (throttle) and turn, since turning is in itself acceleration.
Caveat: when the tires are already at the limit of adhesion (e.g. on an F1 car). In a road car, you are not normally turning at 1g and probably can’t accelerate at 1g so you can turn and accelerate when you have enough margin.
It’s just the average driver doesn’t realize how much margin is available.