Violation of conservation of energy?
We're assuming the charge \$Q\$ is constant (the capacitor is not connected to anything). 

The energy is less with the dielectric inserted, by a factor of 1/\$\epsilon_R\$, 
since \$U = \$ \$Q^2 \over {2\cdot C}\$ and \$ C = \$ \$ C_0 \cdot \epsilon_R\$

It does not go into dielectric absorption, the energy decreases even with a perfect dielectric. 

You can extract mechanical energy from the dielectric insertion operation (it's pulled into the gap), and that is where the energy goes.