Addendum 3: One can try to do the "only if" part in a similar manner. Suppose that $0<\beta\ne\lambda>0$. Let $u_n:=z_n/\sqrt{\beta\lambda}$, $c:=\alpha/(\beta\lambda)$, and $a:=\sqrt{\beta/\lambda}$$a:=\sqrt{\beta/\lambda}\ne1$. Then the dynamics can be rewritten as $$(!!!)\qquad u_{n+1}=\frac{c+au_n+u_{n-1}/a}{u_{n-2}}, $$ just with two parameters, $c\ge0$ and $a>0$. Suppose one can construct, for each pair $(c,a)\in[0,\infty)\times(0,\infty)$$(c,a)\in[0,\infty)\times\big((0,\infty)\setminus\{1\}\big)$ and some $\rho=\rho_{c,a}\in(1,\infty)$, a "$\rho$-super-energy" function $g=g_{a,c;\rho}\colon(0,\infty)^3\to(0,\infty)$ such that $g$ is bounded on each bounded subset of $(0,\infty)^3$ and $$(***)\qquad g\Big(u_1,u_2,\frac{c+au_2+u_1/a}{u_0}\Big)\ge\rho\, g(u_0,u_1,u_2)\quad \text{for all positive $u_0,u_1,u_2$.} $$ Then, by induction, $g(u_n,u_{1+n},u_{2+n})\ge\rho^n g(u_0,u_1,u_2)\to\infty$ as $n\to\infty$, for any sequence $(u_n)$ satisfying $(!!!)$. Therefore and because $g$ is bounded on each bounded subset of $(0,\infty)^3$, it would follow that the sequence $(u_n)$ is unbounded.
Addendum 3a: For any pair $(c,a)\in[0,\infty)\times(0,\infty))$ and any $\rho\in(1,\infty)$, there is no "$\rho$-super-energy" function $g\colon(0,\infty)^3\to(0,\infty)$. This follows because the point $(u_{a,c},u_{a,c},u_{a,c})$ with $u_{a,c}:=\dfrac{1+a^2+\sqrt{a^4+4 a^2 c+2 a^2+1}}{2 a}$ is a fixed point (in fact, the only fixed point) of the map $T$ given by the formula $T(u_0,u_1,u_2)=\Big(u_1,u_2,\dfrac{c+au_2+u_1/a}{u_0}\Big)$. (If $a\ne1$, then this point is the only fixed point of the map $T^2$ as well.)
This also disproves, in general, the "only if" part of the conjecture in question.
However, one may now try to amend this conjecture by excluding the initial point $(u_{a,c},u_{a,c},u_{a,c})$. Then, accordingly, the definition of a "$\rho$-super-energy" function would have it defined on a subset (say $S$) of the set $(0,\infty)^3\setminus\{(u_{a,c},u_{a,c},u_{a,c})\}$, instead of $(0,\infty)^3$; such a subset may be allowed to depend on the choice of the initial point $(u_0,u_1,u_2)$, say on its distance from the fixed point $(u_{a,c},u_{a,c},u_{a,c})$, and one would then have to also prove that $S$ is invariant under the map $T$.