Capacitors are an additional layer of ESD protection, together with resistors they comprise a low-pass RC filter, further smooting the (remaining) ESD spike. TVSs are clamping down from very high ESD voltage to still high-ish voltage (for the logical level inputs), the RC filter is "outlaying" / spreading the energy over time, making it go from _|_ to _----_. In other words - a companion to TVS. Cannot do that for the thermocouple input as inline resistance may throw off the measurement, so there it's only a cap parallel to TVS, serving as a parallel shunt for ESD energy to flow through to the ground. In fact in some applications - ceramic capacitors are the only ESD protection used, I've seen it in automotive ECU designs. There are papers written on that topic (caps vs ESD, longevity of various dielectrics etc.). It's a legit way to treat ESD injection, obviously not as effective as fast acting TVSs.
The anti-parallel diode is to protect LED from the reverse voltage spikes which may be generated by somewhat inductive load (heaters may still have inside a thin nichrome or similar wire, wound in a pattern giving it tangible inductance). PWM is essentially fast-switching the load on and off, if that load is inductive - well, that's how ignition works in ICE engines :-).