The level of protection of the circuitry is quite comprehensive. What I personally don’t like is bare life wires on a board (It might be me, who has to work near the board again, also tight casings are prone to have things touching that should not). There are thermal fuses available with bottom entry like these:
Note that your thermal fuse should at least be able to carry the current that your fuse is rated for.
Fuses are available in many shapes or forms. I like the fuse holder you have used for its easy availability and low cost of the holder and the 5x20 fuses.
Other more space saving options, whilst remaining touch safe, are available too. Like these (TE5, TR5):
Even fuse holders exist for them
Also, your Varistor is prone to fail catastrophically at the end of its life, after a history of overheating. Placing it very close to a thermal fuse can prevent nasty surprises.
The Varistor is there to catch voltage spikes. The most typical occurrence of such spikes are switched AC loads. Whilst you might get away without one in a simple power supply + ESP, it makes sense to have it in place once equipment starts switching things.