One way to think of it is, if the PS did indeed put out 200W even when running a 40W computer, the extra 160W would have to go somewhere and would eventually fry the PS.
OP: What is true though is that the percent of your total capacity you are using affects how much power your PSU needs to draw to give you that 400watt. All other things equal, a 500watt PSU will need to draw less power from the wall to deliver 400 watts than say a 1200watt PSU.
A power supply at 33% load is more efficient than a comparable design running at 80% load.