To the best of my knowledge (and I could be wrong), energy also has gravity, and is affected by it (see
gravitational lensing). Because of this, it makes no difference that matter can be converted into energy; the energy still exerts the same gravitational influence.
I personally do not believe gravity can be transmitted instantaneously. The main reason for this is that, if you apply your Lorentz transformation to something moving at an infinite speed, you get some fairly ridiculous answers. Imaginary numbers coming out your ears. Some of them infinite. If you can explain to me how a graviton experiences imaginary time (in infinite quantities) I'll accept it.
Well, actually I probably won't. Rewrite quantum mechanics and come back to me.