The output of the transformer is 24Vac (=24VRMS). Use your DMM in AC mode to measure it. A sine wave of 24VRMS has a peak voltage of 33.9Vpeak. So, after rectification, your filtering capacitor should be charged to 33.9Vdc-Vf, where Vf is the voltage drop due to the rectifier. This is the expected DC voltage at the output with no load. Use your DMM in DC mode to measure it. However, when there is some load two things happen:
1- The output voltage of the transformer will decrease (loss in the coil´s resistance)(not to mention current imbalance in the transformer´s coil).
2- The voltage at the output capacitor will show some ripple (inverse to the load value). So, using a DMM you´ll measure the average output voltage and not the ripple.
Hope this is enough.
Regards