just attached a 2200?F 50V capacitor on to it, and now it is saying it is outputing just a little less than 40VDC. Does anyone know what it going on here, and if it is safe to attach my 24VDC device to it? (Solenoid and relay)
For a solenoid & relay, don't use the capacitor.
Two things are going on... The peak voltage of an AC waveform is about 1.4 times the RMS. The capacitor charges-up to the peak. Also, transformers are rated at some load. 40VA @ 24VAC is 1.67 Amps. With a smaller load (higher resistance or no resistance) you'll get a slightly higher voltage. And, there's some tolerance in that voltage. (It's one of the main reasons we like to use voltage regulators.)
The RMS voltage is something like an average, and it turns-out that 24VAC RMS (will generate the same power as 24VDC. For example, here in the U.S. where our line voltage is 120V, the peak is 160V. And if you connect a 100W light bulb to 120VDC, it will glow with the same brightness as 120VAC.
And, when you rectify AC (ignoring the diode drop) you get the same RMS value.
There is a small difference with a solenoid or relay coil, since they both have inductive reactance, but at 50 or 60Hz, they will usually work fine with rectified AC.