Momentum is conserved when no external forces act on a system. If the stone alone is our system, then momentum is not conserved when it falls and speeds up. We must consider the whole Earth and the stone as our larger system. Then, the change of momentum of the stone (downward impulse) is canceled by an equal and opposite change of momentum of the Earth (an upward impulse that results from the stone pulling up on the Earth). The momentum of the larger system is conserved.