this looks like a kit in which case all parts should be supplied so you should not worry about it.
in general when resistor power is not specified, 1/4W is assumed,
for capacitor check voltages in the circuit. for example C4 is filtering 170V output
therefore we need capacitor that can handle more than maximum circuit can provise (250V is fine as mentioned in document).
C2 is used on low voltage side so 16V would be more than enough (actual capacitor is likely rated 50V which is common for ceramic).
C3 is in the snubber circuit and can see high voltage. if i was picking component for it, i would go for 250V version (i think i have bunch of 1kV caps too).
L1 should have current rating but this is low power device so i would not worry about it