Transformer magnetizing current, which is independent of load, will introduce a small amount of harmonic distortion. Serving the same load with a larger transformer will produce more harmonic distortion. The harmonic distortion from transformers is small enough that it is unlikely to be a problem, however.
The main reasons for not lightly loading transformers is that no-load losses are higher as a percent of the load and the transformer capital cost is higher for the same load. Load (copper) losses increase with the square of the load, however, so you have to balance all of the factors.