All audio transformers have to be properly loaded. This is important so as to allow for the flattest and widest frequency response.
The correct load will vary with the source impedance (the cartridge) since transformers transform impedance (they don't isolate impedance!).
If the SUT is designed for a particular cartridge the right load is likely 47KOhms with a bit of capacitance (100pf is typical; that assumes about a meter of low capacitance tonearm cable).
But SUTs designed as a generic such as Lundahl or Jensen (who publishes the correct loading values on their website) need a specific load which will be different for each cartridge used. If you don't have it loaded properly its a good bet you're not hearing what the SUT can really do.
I find that while you can get the noise floor down really low using SUTs, its more musical if you can run direct-in. But how that works with the preamp I'm using will not always be so with all preamps. So you'll have to try it and see. Just keep in mind that the loading thing is pretty important- its not plug and play in many cases!