Why so many words about pass transistor?
Is MOSFET rated to 800V 10A 240W is not ok for 350V 0.2A linear power supply?
No, no no! It is called safe operating area. Most MOSFETS are designed for switching operation, and are intended to be either fully ON, or fully OFF. If operated in the linear region (between on and off) they do not share current evenly within the transistor's area, and the hot spot burns out. There ARE MOSFETS designed for linear operation, mostly in audio amplifiers. But, they are expensive, special parts, and not likely at all to be rated for 350 V. (You'd expect to find them with 100 - 150 V ratings.)
Check the data sheets for the SOA rating of any FET you plan to use. If not listed, try another part #.
OK, so I looked up the FCP650N80Z 800 V, 10 A continuous-rated FET. The safe operating area chart shows that at 350 V, it can handle about 400 mA continuously. Now, this would only be in the short-circuit condition, but a bench supply will experience that sort of incident on occasion. So, as long as your current limit circuit will be able to pull the gate bias back fast enough, this one should work.
Definitely have more than one transistor handy while building your supply.
Jon