Well estimated 1watt loss can heat LM317HV quite a bit.
I think that in the price of that regulator U can buy 2MKT capacitors
easily (Atleast in this part of world )
Please make calculations as follows:
30V ac = 30 x 1.41 = 42.42 volts DC
- 1.2volts drop = 41.22 volts - 5volts output = 36.22V
x .025A = 0.9055 Watts.

One needs big heatsink for this.

The purpose of circuit is to get lower voltage without transformer
and not much regulated voltage is required.

When required I will certainly use HV regulator if called for.
otherwise I will use switching one to make it "cool" !

Thanks a lot for suggestion.