The side bar on page #12 (Europe 1940 2nd edition) seems to back that up (pretty cool loop hole?).
From page #39 of the Europe 1940 2nd edition rule book (Anzac Political Situation) we know that when Anzac declares war on Japan, the UK is also immediately at war w/Japan (they are linked as one politically). So when Japans turn starts (in the above scenario) Japan is already at war with both UK & Anz (was reciprocated). If the Japanese units are on land (Kwangsi), they can’t load during Japans combat move phase with a UK surface warship in sz 36 (they of course could have been left on the transports though).
The side bar on page#12 that would allow the Japanese transports to load refers to if Japan had declared war on the Brits/Anz on Japans turn (I believe), but not if they are already at war when their turn starts.
The rule says
" During your Combat Move phase in which you entered into a state of war, your transports……"
Japan entered into a state of war on Anz turn (with both Anz & UK), and not on its own Combat Move phase, so this exception wouldn’t apply.