C2 is in parallel with C3, 470 µF which is there to filter the ripple voltage, so any value for C2 much lower than that will probably not be significant. It could be that it's something like a low value film capacitor meant to filter high frequencies better than the electrolytic type likely used for C3 would.
It is also in parallel with a 3.3 V Zener diode and a 470 Ω resistor. The Zener is meant to regulate the output voltage to 3.3 V, so the capacitor value wouldn't affect the voltage much if at all anyway. There is some worry about the Zener having no current limiting resistor outside of R2 and to some degree R1 although that one is bypassed by C1 for AC current. That may be enough, but the circuit should be simulated and things like current and power dissipation for the various components checked to see if they are reasonable.
Update: Now that I can see the video it appears that C2 is a small electrolytic cap, the video author calls it a 'filter cap'. You can't see the markings but judging by the size compared to the 470 µF cap I'd guess something between 10 µF and 100 µF, maybe go with 47 µF. I'm not sure why they included this capacitor, it's pretty much redundant.
Also he doesn't explain how he came up with the value for C1, but the value used would have an impedance at 60 Hz of
$$
\tag{1}
Z_{C1} = \frac{1}{2\times\pi\times 60 Hz\times 3.3\mu F} = 803.8\Omega
$$
so there is more current going through R1 than through C1, in simulation I get 70 mA for the cap and 120 mA for the resistor. That's
$$
\tag{2}
P_{R1} = 120mA^2\times 470\Omega = 6.768W
$$
In simulation I get 6.9 W,and R2 is worse, averaging over 9 W. So if you use 1 W resistors like the video recommends they're going to get quite hot.
Conclusion: It's probably not a very good circuit and the guy in the video doesn't explain much of anything, he just says 'do this'. Safety is also lacking, he says something along the lines of 'this should be an X2 cap but I don't have one so oh well', and he doesn't appear to use an isolation transformer (a $40 Variac with banana jacks hacked onto it's side won't substitute for one). Showing people how to do something dangerous and then just adding a 'if you try this you're on your own' disclaimer is not very responsible. You might want to avoid the videos from that channel.