To calculate the peak value of a sine wave, multiply the RMS value by square root of two. This will be the voltage that the filter capacitor will charge up to under no-load conditions. 240V * ?2 = 339V.
Resistive voltage dividers hardly ever make good power supplies.
A primary risk in powering anything from mains is the shock hazard that can result if a person comes in contact with the circuit while standing on a grounded surface, etc. The transformer used in typical step-down AC-to-DC supplies provides isolation from the mains.
The so-called All American Five tube radios were notorious in that they had no transformer isolation, and if the plug was not polarized, then the chassis could be connected to the hot side of the mains.