that module looks pretty interesting. It's small, about 2x3x4 cm
It has no connection to Earth ground. So without an earth pin, it cannot have the (2) Y-capacitors inside. These normally go between Line-to-GND and Neutral-to-GND (C2 and C3 in your pic2). The Y caps are to shunt high-frequency conducted noise into the earth ground. So if you are going to put any additional filtering, I would put (2) Y capacitors on the outside before your module, although it says it meets conducted EMI specs as it is, but it clearly has no Y caps inside. It possibly has no X cap either, because its likely a design that depends on a choke and 2 DC filtering caps on the high-voltage DC side to make a pi filter that together with the transformer's interwinding capacitance is good enough to meet EN 55022 Class B Conducted Emissions
There is probably no MOV inside for transient suppression. They don't say in the datasheet. However, other datasheets of similar modules from the same manufacture specify an external MOV is required for 220 VAC sources only. So I would make sure that you protect the module from transients. It probably has enough EMI filtering built in, but not enough protection from wild transients. So a MOV outside as you've drawn it. Make sure you put the fuse first, as I've drawn it, not after the MOV. The MOV is good for short lived transients, but it needs to breakdown and blow the fuse for any longer over-voltages.
Probably in this order, a fuse, a MOV, a single 0.1uF X cap, a 22mH common mode choke, a 1 Meg bleeder resistor, and 2 4700pF Y caps. This type of filtering is pretty standard, and would be a useful extra above and beyond what the module provides. For added protection you can put 2 more MOVs after the fuse, between Line-to-Earth and between Neutral-to-Earth, but minimally 1 MOV is needed.
For connecting your earth ground to system DC ground I like to use a ferrite bead. Some EE's like to use a small valued resistor < 100 ohms to connect the grounds, and still others just connect them directly together. You may need the isolation and choose to float your ground. Often times, with isolated grounds, you will see a Y cap between the grounds (instead of the ferrite I drew). I don't know if that's such a good idea, it would seem to serve only to couple high-frequency noise from the line to the DC side. It seems dubious, I don't want that noise on my DC ground. So when I don't need isolation, I connect the grounds directly for safety, using a ferrite to block HF noise from the AC side reaching my DC ground.