I suppose I would not be failing an empirical test, but I would be going against the well established law of conservation of mass and energy, and we can conclude I am wrong with >99% certainty.

Precisely my point. The Law Of Conservation Of Energy is only well-established - empirically speaking - to hold within the observable universe. The Law Of Conservation Of Energy That I Can See is, of course, more complex, and there's no reason to privileged the hypothesis - as long as you have some way of assigning probabilities to things you can't observe.

To prevent us from getting too hooked on the analogy and back to my original question, if there is a theory (Bohm) that cannot pass or fail an experimental test but does go against a well established principle (locality), why should we give it a second glance? (Again, not a rhetorical question.)

Well, the Official LW Position (as endorsed by Eliezer Yudkowsky) is that you shouldn't. And, honestly, that makes a lot of sense. Some people, however, are determined to argue that the whole question is somehow meaningless or impossible to answer.