Those displays look nice and if you keep below 20V then they look like a direct fit (though I haven't looked at conenction details).
By using a shunt res you can use another one of the displays to show current. You may need an op-amp too if you want to keep the shunt val very low.
Current trip.
You could use an op-amp method to measure the voltage difference across the shunt res. If the current (i.e. Vdrop across shunt) is too high then you could switch off the output.
With PICAXE you could make it quite flashy. Same principle as op-amp but use an LCD display then by adjusting a front panel pot. you could show the preset val of current for trip and the current current (ha).
And don't forget to source a suitable rectumfriar where you will also calculate whether heatsinking is required in 'worst case' mode.
PS. I've just looked at this Data Sheet which gives some nice exampls too:
http://www.st.com/stonline/products/literature/ds/2154.pdf
Note the Application Information and Fig7 gives a nice safe example circuit.
You will have to calaculate your values for your requirements. But also look at Fig 3 which gives some indication that the Vin shouldn't be too high to get best power performance.
You could end up with a pretty clever power supply but it will take some effort.
In the meantime I take it you've got copies of the Data Sheets for the regulators?
As mentioned before, your regulators will have to dissipate a lot of heat so don't forget some 'worst case' calcs on heatsink requirements.
And a bit of suppression on the mains side wouldn't go amiss either.
And fuses all round too.