I actually thought of this problem once, and I have something of a solution for it: Damage transfer over even in different forms in both physical pain and mental shock. Even if you were to say, lose your arm and than change into a form which still had it's arm, you'd still be feeling the pain of having your arm lopped off and it still hangs in your mind, unless you've done some serious training where you're simply used to getting your arms lopped off. As for the conservation of energy and what not, also consider that while we won't look too deep on WHERE you're getting all this extra mass from, injuries could stunt the ability to produce new mass on the spot, or in the case of getting your limps lopped off decrease just how much you can shapeshift. Sure a shapeshifter could turn into an amputee, but if they get their limbs cut off in anyn other form then they're in real trouble. 

Another way I'd like to think of it in terms of gameplay with numbers and such, is that shaepshifters don't use "Mana" for their abilities but their health. As long as they have a certain amount of health they can change into whatever their current health can cover. So for example going from human to another human isn't too tough, but going from human to full on dragon could be because dragons are naturally trougher than humans, and if you're only as strong as a human even if you're a shapeshifter you'd never be able to turn into a dragon. Losing said health also makes it much more difficult for you to shapeshifting since every time you take damage, you lower the amount of health you can spend to transform, which means that even if you do transform it'll be a lesser quality because of how hurt you are.

This is also the logic of what happens when you do somehow turn into a big dragon, but than start taking a whole lot of damage. Eventually it'll get to a point where you would die if you remained in dragon form because your health is so low, but if you changed back to human, well, at least you won't be bleeding out. But you're still sore as fuck cause you got hit with enough pain to kill a dragon.