I'm making some linear PSUs with old transformers, and using over 2200uF caps . A lot of old stuff never really used any type of inrush current limiting at all did they ? Like old amps, TVs.
Correct.
When does it become a worry or just reduce the life of caps, or rectifier diodes ?
The diodes/bridge must be beefy enough to handle the inrush cap charging currents and they are calculated WRT the cap size/value. Check some bridge/diode datasheets to see the specs they put on peak currents.
Linear stuff is not normally a problem as Cliff Matthews points out.
SMPS on the other hand is where the impedance of the mains supply is so low as to provide currents above the peaks diodes can handle for just a few mains cycles into what's often a low ESR bulk rectified mains cap.
Hence thermistors are commonly used so to limit current inrush to levels diodes can manage.....and they also allow the engineer to select a lesser diode package due to lower current peak startup loads.
Further, as the voltage rise the SMPS starts working also adding additional load to the mains diodes.
I suspect common mode chokes may soften the power ON load on the diodes by adding impedance to the mains supply.
Someone can help you with the equations to determine peak currents vs time (mains cycles) vs capacitance that provides for the info to correctly select diodes with.