Why does energy in magnetic field change with changing frame.
Energy is inherently frame variant. It is the timelike component of the four-momentum. Energy has the same relationship to momentum as time has to space. All energy changes with changing frame, including the energy in the electromagnetic field.
I know and believe that magnetic fields just can't be a mathematical construct! They are real and affect us somehow If anything contains energy then it must be physical and real not a mathematical construct!!!
I agree, but you do need to be aware that “real” is a philosophical term, not a scientific one. So different scientists will mean different things when they use it. For some, a thing is real if it can be experimentally measured. For such scientists energy and the magnetic field are real. For other scientists, a thing is only real if it is frame invariant. For such scientists energy and the magnetic field are not real, they are different perspectives or views of something else which is real. Specifically, energy is part of the four-momentum and the magnetic field is part of the electromagnetic field tensor.
I don’t have a strong stance either way, but it sounds like you may be torn between those two options. On the one hand you think that frame-variant things are just mathematical constructs, but on the other hand you think that energy (which is frame variant) must be physical and real.
I just don’t think that it matters either way. Regardless, energy and magnetic fields are measurable and frame variant. So if you want to put them in the “real” bucket or the “not real” bucket is just a matter of labeling. It doesn’t change anything important about them.