You mean that circuit?
Yup. Having a capacitor on both A/N means that IF you ever plug into an incorrectly wired point, you won't get FRIED.
BUT, remember, it is still referenced to mains, so 0V is not a safety point ie I wouldn't have it exposed.
IF there is ANY chance of touching the OP, I'd add a 2nd protection device, either a say 18VAC MOV on the AC side of the bridge,
or a say 18VDC Transorb on the DC side of the bridge. If the secondary goes O/C, then you have the full AC on the OP.