Conservation of Energy only affects entire systems. That is, the universe.
Crono travels from 1000 AD to 600 AD. If we look only at a slice of the universe (that which represents 600 AD), then yes, it would appear that matter was created. However, if we look at the system as a whole (which would include both 600 and 1000 AD), the energy is the same, it was just moved around.
Imagine you had 10 groups (aka, time periods) of 5 widgets (aka, matter) each. The entire system has 50 widgets. You move one widget from one group to another. While that one group suddenly has more widgets (and another group suddenly has less), the entire system's number of widgets remain constant.