A transformer is not a solid block of iron. Instead it is made of several thin, preshaped pieces called laminations., which means that there is always an airgap between those laminations. As the load increases, the transformer has to 'work' harder and the laminations begin to vibrate, producing this hum.
Good transformers are dunked into shellac, which penetrates, or at least should do so, these airgaps which in principle should dampen these vibrations and thusly the hum.
As long as the transformer stays warm, there is no concern. However, if the transformer gets hot you should be thinking of replacing it.