Safe load on a 40 VA Transformer
As pointed out in comments this will be fine.

The VA rating of the transformer is the maximum you can take from the secondary: This is literally just output current times output voltage so you want 28.8VA which is less than 40 so OK.

Note its VA not watts because power also depends on phase and shape of the current taken by the load.  Transformers like this are typically better than 95% efficient so the input VA will be slightly higher than this but not much.  We can estimate this \$ VA_{input} \approx \dfrac{28.8}{0.95} = 30.3 VA\$ About 0.28 amp from your 110V mains.

Without any load there will be some current in the primary. This is called the magnetising current as is a result of the inductance of the primary winding. The more inductance you have the less magnetising current there will be.