Take a look at figures 11 and 12 on pages 6 and 7 of Linear Technology Application Note 2:
http://www.linear.com/docs/4099They show and discuss the same cascode configuration with a floating linear regulator you are considering. I have used this same design several times including in a military project which went onto the F/A-18. When my boss asked if it could handle the specified over voltage condition of like 90 volts, I just laughed and plugged it into the wall socket.
Over on funwithtubes@yahoogroups.com, there has been a recent discussion about building tube based bench power supply which led me to digging up the above application note by Jim Williams and passing it along to you. The August 2014 edition of QST also has a design for a tube based power supply which you may find interesting:
http://www.arrl.org/files/file/QST/This%20Month%20in%20QST/August%202014/JULSTROM.pdfThe changes I would make to the cascode design include foldback current limiting which lowers the output current as the output voltage drops to protect the cascode transistor and input supply and a current limit indicator. The foldback current limiting should be used in your case because with say a 500 volt input supply and 200 milliamp current limit, the short circuit power dissappation will be about 100 watts which while possible to handle is inconvenient and will require a much larger cascode transistor and heat sink.
Another feature which might be worthwhile is SCR crowbar protection on the output. If it detects an over voltage condition which could occur if the pass element shorted out or if the voltage control potentiometer went open, it shorts out the output to protect the circuit being powered and blows the input fuse.
The only other features that immediate occur to me which you might want are a precision adjustable current limit and improved output regulation. Both would add considerable complexity however. Improved output regulation is probably a waste of time unless you want to use the supply as a high voltage calibration reference; integrated voltage regulators already have good enough performance for typical power supply applications.
Something to watch out for in this design is the lower resistor of the output voltage divider. There is an assumption about the minimum output current that LM317 style regulators require which is normally provided by the upper resistor but it also flows through the lower resistor. If this current is say 10 milliamps and the output is 500 volts, then the lower resistor has to be able to dissipate 5 watts which will require a pretty beefy potentiometer. This requirement is lowered of course if a series resistor is used to set a minimum output voltage. There are also other ways to lower the current through the lower divider resistor if necessary.