That looks more like it, dissipation wise.
Now I am looking at diodes, and I am considering bridge rectifier to simplify connections and layout, as it will for now be assembled as a dead bug circuit.
For example: Bridge rectifier: single-phase; 800V; If: 0.5A; Ifsm: 35A https://www.tme.eu/Document/8fc49bd76b76ff3a03de43cc393d0385/MB2M-MB10M.pdf
Yikes! You don't need anything like that. The output voltage, and therefore the input voltage, of the bridge is clamped by the forward voltage of the LED, so it won't see any high voltages. That's why moving the resistor to the AC side of the bridge was a good idea.
If you really don't want to put 4 x 1n4148s on a piece of stripboard (together with the cap and resistor in the 55V case - you want to be a bit more careful with the mains version), then you can get little bridge rectifiers in 4 pin DIP packages*.
Edit: 1 just did a double take. A resistive drop of 55V (ignoring the drop of the bridge and LED) at 2mA is only 110mW. The cap is doing nothing for you. Just use a resistor. I wouldn't use the mains version, I don't think you're ready for that, safe construction wise (using dead bug for it).
* Sorry, the 800V and IFSM threw me, I didn't realize you link was for a 4 pin DIP.
Again, thanks for the feedback.
As for the deadbug thing, the project will be enclosed, every wire will be in heatshring sleeves, components will be fixed in the enclosure so that they don't create unwanted connection, every thing goes through a fuse. As it is a one shot project, I am not inclined to order PCBs. If I need to do more of these, I think I'll use proper PCBs.
BUT! I might reconsider the 230V side.
As the LEDs are here to show if fuse (primary side) or thermistor (secondary) are busted/triggered, I might put both on the secondary side (If I really needed indicator on the 230V side, I think I'd use a neon lamp to keep things simple and safe).
As for the bridge rectifier, I now consider replacing it by a single diode: most of the time the LEDs will be hidden, therefor flickering is not an issue.
Summary: Both LEDs on the secondary, single diode, flickering not an issue.