To make a SR 2A3 you need a minimum of 80mA supplying the shunt regulator - more is better. Regulated voltage will be (let's say) 380v. Allowing 5% compliance and another 20% for possible power line variations (+/-10%), the current source feeding the regulator must dissipate 9 watts, minimum. If your power supply voltage is a bit higher than optimum, it will be more. You can't reliably dissipate that much power with a TO-220 transistor unless you have a very large heat sink - around 10 cubic inches volume, and well ventilated for convection cooling. Incidentally, you must allow for the possibility that the mounting washer will fail, placing the heat sink at 400-500vDC, so it must be protected from accidental contact - without interfering with the ventilation.
That's an example of what I meant when I said "The issue is mostly the voltage and power dissipation capability of available transistors in the current sources" in a previous post in this thread. All these are solvable problems, but it would take a lot of engineering time to solve them in a safe and reliable way.