Protons (and mass and energy) could also potentially be created. If this happens, the heat death could be avoided.
Conservation of mass and energy is an empirical observation, there is no theoretical basis for it. We just don't know any process we can implement that violates it, but that doesn't mean it doesn't exist.
Conservation laws result from continuous symmetries in the laws of physics, as proven by Noether's theorem.
Time translation symmetry implies energy conservation, but time translation symmetry is only an empirical observation on a local scale and has not been shown to be true on a global universe scale.