Those 2200 pF caps likely need to be Y-rated caps. This are high quality caps with a special safety rating, so they won't fail with a short.
The common mode choke acts as an high inductance for the common mode signal. The magnetic flields of the two coils compensate so the core will not saturate when used in the normal way. The normal load current will also see not much of the inductance. Usually it's used to prevent RF interference, not so much for normal function.