"Laws of thermodynamics" are cited so often on here that I usually let it pass. Now and again, though ... 😂 The law as cited applies to closed systems. The body is not a closed system. We're not machines, we're biochemical organisms - open systems.
First law of thermodynamics: In general, the conservation law states that the total energy of an isolated system is constant; energy can be transformed from one form to another, but can be neither created nor destroyed.
Some bodies under some circumstances want to increase fat. They can easily do this by diverting resources from other functions: the body may give off less heat, cut back on muscle or even bone maintenance, slow down digestion, reduce brain activity, limit available energy, and a multitude of other means to create matter (fat) by not creating other matter (flesh, bone, muscle, etc) while directing energy to fat creation instead of using it up.
Why do you think conditions such as hypothyroidism and diabetes make people put on weight without changing their diets? How do you explain medications like some antipsychotics causing sudden weight gain?
The converse is also true: some bodies, under some circumstances, want to put out a lot of energy as heat and activity, consuming matter (fat, muscle) to do so. This happens with conditions such as hyperthyroidism, and some drugs like amphetamines.
There are also conditions where the body wants to create loads of skin cells, for instance (psoriasis), diverting energy away from bone and muscle maintenance, and other abnormal growth situations (cancer) that can divert all the energy from everywhere to fuel cell multiplication, resulting in sudden weight loss.
Hormones are neurotansmitters - messengers. The sex hormones reach every part of the body, communicating with the brain to adjust processes going on within the body's system. It stands to reason that changes in the quantities and proportions of hormones will alter the messaging - that's why we take them, after all! We want changes. We can't yet direct them to make only some changes but not others; it isn't even clear that we should.
First-form science rant over, you might get unwanted results from medications. Try different formulations and/or different proportions. And ignore that thermodynamic crap.