Yeah, the given AC voltage is a root-mean-square (RMS) average of the actual voltage on the wire. This is convenient if you talk about power transfer, but you have to be careful if you’re looking at peak (or peak-to-peak) voltages – the peak is sqrt(2) = 1.41× times higher, peak-to-peak (the full wave) twice that, or almost 3×.
So with 12 V AC in, the capacitor will see voltages up to 12×1.41 = 16.9 V 
However, there’s a voltage drop over the rectifier diode (VF), which the datasheet says is 1.1 V, so you get 12×1.41−1.1 = 15.8 V 
However, the 1.1 V is a max value, and can drop below 0.7 V if you’re not pulling a lot of current through the diode. That would put you above 12×1.41−0.7 = 16.2 V
Also, a lightly loaded transformer will output a higher voltage than what’s on the label, often 10% or more. 1.1×12×1.41−0.7 = 17.9 V
So ok, you’re only 12% above the rated voltage (OP was +22% when things blew up, I think) but going for the next higher voltage rating is probably worth the effort.