With apologies for quibbling, I think both maneuvers retain energy; they just change the form it's expressed in.
Immelman trades speed (kinetic) for altitude (potential).
Split-S trades altitude for speed.
True but with any energy conversion some is made unavailable/lost.
To use the potential energy gained by performing an Immelman, you trade that altitude back for speed by diving again, in the same way as the Split-S does.
That gives you two conversions instead of one: Speed -> Altitude -> Speed, instead of the single conversion of the Split-S: Altitude -> Speed.
Doesn't matter if you can stay at the greater altitude long enough for your engine to further increase your energy, but if you're making a series of quick manouvers then you'll have more energy by (for example) diving from 10,000' to 5,000' directly, rather than climbing from 10,000' to 15,000', and then diving to 5,000'.