How can I tell if my door bell transformer is grounded with it mounted to a box?

I have an old one without a ground wire and new one with a ground wire. I have conduit and outlets are grounded thru that.

The new transformer has a plastic screw locknut that goes thru the knockout. If I didnt have the ground wire hooked up, would I still be grounded thru the box?

Did I get the wrong type of transformer for a metal box?