As far as we know, there has been not one single violation of conservation of momentum from the uttermost dawn of time up until now.

But the only reason we call the conservation of momentum a law, is that we do not know of any exceptions to it. A law is just a pattern in the behaviour of the universe we do not know of any exceptions to.

And when we do discover exceptions, we just call the old law a "special case" of the new law.