It does, when you want to transform the energy into something else.
You cannot mine radiation so you have to convert it first to something useful.
In this process you always have losses, whether mechanical wear, EM radiation, IR radiation or whatever.
Ah, so
http://www.wirelesspowersupply.net is scam!

No, I don't say wireless radiation (edit. lol. wireless and radiation is pretty the same) is impossible.
I only say that you always have losses if you transform one energy state for another.
And when this occures, there is almost always some heat involved.