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Xiaobing,
Section 2.3 Transient Protection of the user guide explains the purpose of the these capacitors.
The voltage rating of the capacitors must be able to handle the voltage of the surge event (2kV). The capacitance is chosen with a high enough value in order to transfer an effective amount of energy between GND and PE. 4.7nF is a common value for this.
Respectfully,
Lucas