What capacitors are proper to use for input of AC DC converter?
Note the symbols on that schematic: both Cin1 and Cin2 are electrolytic caps. So, even for high voltage ones, you can get them at reasonable price (10uF-100uF, 400V electrolytic caps are fairly common in SMPS).

Note also that in that application note there is a photo where it appears that they actually use electrolytic caps: pag.10, figure 3, the caps on the right appear to be 4.7uF,400V electrolytic caps.