Gravitational lensing is pretty strong proof that photons follow the curvature of space affected by a gravitional field. If photons had mass themselves they would not follow straight lines in free space but they'd clump together over astronomical distances and long periods of travel. Though there is a way to get them to act in unison which gives some pretty odd effects:
https://news.mit.edu/2018/physicists-create-new-form-light-0...
However, whether that translates to a loss in momentum is a bit more fuzzy and I really can't tell whether it does or doesn't. Although I'm far from being a physicist, so hopefully someone more knowledgeable chimes in to enlighten us...
But I'm curious: what is your reasoning for asking whether photons have a mechanism to lose momentum as a consequence of them affecting the curvature of spacetime? It's not at all obvious to me the relationship between these two concepts.
This is not true, elastic scattering is very common.
Yes, redshifted photons lose momentum. Momentum (really the stress-energy tensor) is conserved locally, and along trajectories that preserve the metric, but global momentum conservation in GR isn't even well-defined.