"I already measured it" - have you measured it in static condition?
Keep in mind that R1/U1 do not limit voltage, only current, and only in static condition when you have continuous power drain by the load. When you power up the circuit C1 can be considered a short to the ground, and U1 can pass entire peak voltage to R2.
As to why THT component did not fail, there could be many reasons. For example it could have a "pulse withstanding" rating, or, more likely, enough thermal capacity to survive the shock.
UPDATE
how to know if the components could handle such thing
The 220V AC has 311V peak rectified voltage. That is first thing to look at. For example RC1206FR-13150RL resistor has 10V maximum working voltage and 25V maximum overload voltage. It is obviously not suitable here. But pulse withstanding ERJ-P08J151V resistor has 500V maximum working and 1000V overload voltage. Much better.
You can use one of many online calculators to see dynamic characteristics of your schematic. In this case, 220uF capacitor charging from 0 to 27V by 311V source via 150Ohm resistor will peak at 2A. Luckily, this will be a very short 3ms pulse.
Also interesting to look at the energy required to charge a capacitor. In your case it is 80.19mJ. Over 3ms time this comes down to 26.73 Watts. Pulse withstanding resistors should be able to survive this. Some of them have pulse power specified in the datasheets.
Finally, the above calculations should be adjusted, since the rectified voltage is not a DC but pulsed. It will take several pulses to charge a capacitor. For example, if time constant is increased to 50ms then the power requirement comes down to quite manageable 1.6W.
Note, that continuous current draw needs attention too. Your measured 24mA (my calculated was closer to 27mA @ 4V) made you think that 250mW rating is OK. I would look for 0.5W and make sure it has good copper pour for pads.