Should have a 1M 1W 500v rated resistor across it, and really is a third harmonic mains filter, designed to reduce the distortion sent back up the mains from diodes on the secondary side ( or the primary side on a SMPS) conducting at near the peak of the mains cycle.
Was a common add on to solve third harmonic distortion requirements before they introduced the lower power standby requirements on power supplies in IT equipment. Seen plenty of computer power supplies with this done, and a fair number of cheap fakes where the inductors are merely a loop of wire through a former and wrapped with tape as well.