We study a quantum Szilard engine that is not powered by heat drawn from a thermal reservoir, but rather by projective measurements. The engine is constituted of a system , a weight , and a Maxwell demon , and extracts work via measurement-assisted feedback control. By imposing natural constraints on the measurement and feedback processes, such as energy conservation and leaving the memory of the demon intact, we show that while the engine can function without heat from a thermal reservoir, it must give up at least one of the following features that are satisfied by a standard Szilard engine: (i) repeatability of measurements; (ii) invariant weight entropy; or (iii) positive work extraction for all measurement outcomes. This result is shown to be a consequence of the Wigner-Araki-Yanase theorem, which imposes restrictions on the observables that can be measured under additive conservation laws. This observation is a first-step towards developing 'second-law-like' relations for measurement-assisted feedback control beyond thermality.