Lorentz Transform is a description of what an observer would observe.  Mass
is an observer-dependent parameter.  Thus, so is kinetic energy.  In fact,
all energy should be dependent on observer.  In doing so, the observed
momentum the observed energy have to be conserved.

Now, let's look at gravity.  According to General Relativity, it is the
curved space generated by mass, momentum, and energy that is interpreted to
be a gravitational force.  With two different observers not necessarily
stationary to each other observing a moving object, each observer should
notice different amount of curved space in general.  Thus, gravitational
affect is observer dependent.  Now, what is wrong with this picture?