Overvoltage protection when going from 24V AC to 3.3V DC
24VAC only has a peak voltage of 33.9V (24*1.414)
So I the specified MOV looks reasonable.
You get two diode drops with the bridge (-1.4) so 33.9 becomes 32.5Vdc. 
Instead of a zener here, I would pick a TVS diode (Transient Voltage Suppressor).  They are fast and able to take large transients and have finer voltage resolution choices when compared to zener diodes.  You can easily get one that is designed to stand off 33V all day long and starts conducting around 36V.
Also, if you have the space, I would use parallel input caps instead of one large one.  Each one has ESR (series resistance) and so the more you parallel them the lower the overall ESR becomes. And that enables the input cap to also slow down/prevent noise as well. Recall from physics that you can not change the voltage on a capacitor instantaneously, instead it must charge up over time.
Don't worry about anything downstream of the power supply.  With the two/three protection devices in place, then the regulator will do its job and take anything from up to 40V and turn it into 3.3V.