Warm is OK. If it's so hot you can't leave your hand on it something may be warm. Most likely he is right it controls various low voltage circuits including the thermostats and the humidifier controls.

Transforming electricity inevitably results in the generation of waste heat. It sounds totally normal.

It would be a good idea to investigate,
and find out exactly what it feeds,
and label it accordingly. It 'probably'
is for the furnace, but maybe it was
just a convenient spot to put the
doorbell xfmr.