10,000uf of bulk filtering capacitors will reduce the “conduction angle” of the diodes CR1 and CR2 causing a very high short current through them and it may cause the diodes to fail. For a wall wart, that’s probably OK because there is a lot of wire between the transformer output and the diodes. The wall wart may put out a lower AC voltage too and the added capacitance may help. For a mains transformer, it may be too much capacitance even at light loads. One 3300uf cap is enough for up to 1.5A of output current through a regulator. Also, add some 100nf caps close the input and output of U1 and U2.