There are a few things that would be good to add.
On the left, add some parts for safety. You need a fuse. Learn about type X and Y capacitors, and a common mode choke. These are sold all packaged together as a 'line entry filter'. These parts protect the circuit from high-voltage spikes that are common in ordinary household power. Transients of 10kV are common and 30kV is ordinary. You don't notice them, because your other devices have the necessary protection circuitry. These circuits also help prevent radio interference.
A snubber circuit on the secondary of the transformer can help. This is covered nicely in The Art of Electronics Third Edition, and less nicely in the Wikipedia article.
The 20K pot is going to use over 1 Watt. It needs to be full-size.
The 25mA current is all that the circuit can support, but the current limiting of the LM117H is much higher than that. Not sure what you want to have happen if there is too much current. Perhaps the thermal shutdown of the LM117H will protect the transistors? I don't know much about the NSD134, and you will probably need to substitute something that is more available. Perhaps R3 will act as a fuse.
I would add a 1uF Mylar 630V capacitor in parallel with the 1000uF electrolytic. This will help prevent RFI from the diode bridge getting into the regulator.
Something like the Kemet R463N410000N2M is sufficient.
Here is my boilerplate advice for working with high voltage: High voltages can be lethal. Take all safety precautions. Wear non-conductive shoes. Wear safety glasses. Probe with your left hand in your back pocket. Don't work alone. Make sure someone with you knows CPR. Know where the nearest fire extinguisher is.