Usefulness of line EMI Filter on bench power supply
It's a linear supply, so no EMI is created by the regulator. 

Unrelated to EMI, but for surges-your regulator is only rated for 40V, that's very close to the line with a light load, depending on transformer regulation etc. 

Consider putting a few hundred ohms in series with 10n or so across each of the four diodes in the bridge rectifier. Or use a soft-recovery bridge. This could be important for low-level or audio work because the diode recovery causes ringing that sounds like a 100Hz or 120Hz buzz.