Can you connect a SAN directly to a HBA with Fibre Channel?

You can use multipath FC connections from your servers to the MSA2040 without the use of a switch.

You would connect your HBAs on thee servers to each of the two controllers on the MSA. The MSA2040 was designed for this, and this is a fully supported cabling and VMware host design.

Can we directly connect the SAN to the server HBA and skip on the switches?

Yes, no problem here.

Will we still be able to use vMotion and High Availability using direct connections from all servers?

Yes.

What you'll be losing out on, though, is the ability to leverage multiple fibre paths from your HBAs to your SAN, meaning that if your HBAs fail, or if the cable fails (or gets accidentally damaged/unplugged), or if the HBA on the SAN fails, there is no redundancy in place to protect you from downtime. It sounds like you're well aware of that, though.