power
Why?
warm
Indeed most wall cubes do waste a not totally negligible amount of energy when idleing. Exactly how much depends on the size and design of the wall cube, but an estimate of something around 2-4 watts while idleing isn't too unreasonable for normally sized wall cubes. If in your house you have 30 of these cubes all plugged in 24/7 each taking say 3W, and you pay 10 cents a killowatt hour that amounts to around $6.50 a month down the trapper. Most equipment you purchase will often specifically recommend you unplug the wall cube when you are not using the product (somewhere in the manual, but who reads or follows those?).
Surely the Sony Clie doesn't need 10.4W during normal use, the high current is surely needed for recharging the battery. If you want to charge the battery in a reasonably short amout of time it takes a relatively high current. I don't have a Sony Clie, but it probably uses a switching power supply type of wall cube instead of the standard transformer + rectifier + capacitor arrangement. Switching power supply wall cubes can (although it doesn't mean they have to be) be designed to use much less power while sitting around at idle. These types of wall cubes usually do have higher efficiency while under load as well. Unfortunately they cost more, so low end cheap consumer products won't normally use them. Fortunately high tech products like cell phones normally include them these days.
Indeed a 5.2V 2000mA rated wall cube won't likely waste 10.4W when at idle. They only supply 2000mA if the load wants that much. On the other hand most wall cubes will waste something while idleing, and the current flow is measureable. Although measureable, it isn't guaranteed that simple power=current*voltage formula can be used to accuratly measure the wasted power. An idleing transformer is an inductive device and therefore will not have unity power factor when at idle. Additionally capacitive loads fed through a rectifier don't draw current in a nice sinusoidal pattern, and they too lower the power factor (although this mainly only applies when the wall cube is loaded).
need
Well that would cost more and make things more complicated. If you like you could go out and replace all of your standard mains frequency transformer based wall cubes with switching power supply ones, and assuming you get well designed ones this may make the idle power consumption negligible as well as improve the efficiency while under load.
But if you really are concerned about waste make sure not to buy fuel wasting vehicles.