Not only do you not need C2 and C3; having them will prevent the circuit from working.Please, now you make your comments on this schemetics.
I would connect the 15VAC secondaries in parallel and use a larger filter cap to reduce ripple voltage on the rectified output. That would waste less power in the LM317.
LM317 are spec'ed for a minimum load current of 10mA. If the regulator you use doesn't regulate without a load, increase the minimum load until it does. I had one LM317 that required a 20mA load before it would regulate...
You might be able to use a 78L05 for the 5V for the voltmeter and power it from the 12V regulator.
You never specified the current rating of your transformer. You guessed it might be around 2A. If it's closer to 2A, it might be marginal for the load you plan.



