Can an electromagnetic wave lose or gain energy to change into a different type of magnetic wave For example can a microwave become a radio wave through a loss of energy?

Usually not. If part of a wave of a certain frequency gets absorbed, the remaining wave will still have the same frequency - and the same energy per photon.In special circumstances, due to the Doppler effect, loss of energy in a gravitational field, or to the cosmological redshift, waves can indeed lose energy in the way you describe in the question.