if the chemcial reaction is CaCO3----> CaO + CO2, and if 40.0g of caco3 is decomposed, and 22.4 g of CaO is produced. if the question asks "where did the rest of the mass go", is it that it was burned off since its decomp in the form of CO2?

Yes, the remaining mass is in the CO2. There is conservation of mass (in fact even more specific, there is conservation of each element).

I am new to all this fancy stuff in science (hence my name) and just starting to teach my self all kinds of new stuff. can you explain how that mass seemingly "disappears"? (I know it really doesn't actually disappear but it isn't exactly where you would most obviously expect it to be.)

I think, its because CO2 is gaseous. If you are able to collect the gas and weigh it, it would give the mass that you are looking for.