According to HPE SPOCK the P421 does not show as a supported adapter for the MSA 2040 SAS. It also says " HP MSA 2040 SAS controller requires a mini-SAS HD connector for host connections. Validate your HBA or Switch connector to purchase the correct cable separately."
Also, I would ask, if you are purchashing new, have you thought about why you want to go down a SAS SAN route? I mean they are fine for the right use cases but iSCSI or FC may provide some more flexibility and expansion options if your environment grows. If you simply need to hook a single server, and only ever a single server, I wonder why you are looking at a SAS SAN versus a dumb SAS JBOD shelf? Do you/will you ever have the need to share this storage with more than one host?