The energy from the magnetron is transmitted into the oven cavity. If something is in there the energy is absorbed. If nothing is in there some fairly high voltages can build up thet will cause arcing from sharp points. Modern ovens tend not to have sharp points in the oven cavity and so this is not an issue. There are obviously some losses in the oven cavity walls and through the door , nothing is perfect. The bulk of the enrgy is reflected back to the magnetron which generated it. The magnetron heats up. Magnetrons are not too good at taking this and eventually go bang.