The photograph shows the following regulators:
• 7812CT
• 7912CT
• 7905CT
• LM2940CT -5.0
• MIC29150 3.3WT (not sure: hard to read)
These are linear voltage regulators. Using rectifiers with a smaller voltage drop would result in more voltage drop in the regulators so that the total heat dissipated in the power supply would be the same.
A data sheet for the rectifiers is here:
https://www.vishay.com/docs/88516/1n5400.pdf
The rectifiers are rated for a maximum junction temperature of 150°C and rely on conduction through the leads to dissipate heat into the heat sink (printed circuit board). The blue electrolytic capacitors are marked 85°C. If the power supply is running very hot it might be worth changing the electrolytic capacitors to higher temperature types rated at 105°C.
David