The components you mention combine to form a simple transformerless supply for the IC. These are quite common in such circuits.
The 470nF capacitor and 500Ω present a set impedance to the mains voltage and limit the current. The reason a single resistor is not used is because it would have to dissipate a fair bit of power to do this, whereas a capacitor does not dissipate any power (or very little for a non-ideal cap)
We can demonstrate this by looking at the numbers:
Assuming a mains frequency of 50Hz, we can calculate the capacitor impedance:
\$ \dfrac{1} {2 \pi \times 470nF \times 50Hz} = 6772.5 \Omega \$
To work out the total impedance, we do:
\$ \sqrt{6772.5^2 + 500^2} = 6791\Omega \$
So the peak current through the 470nF capacitor and 500Ω resistor will be:
\$ \dfrac{311}{6791\Omega} = 45.8mA \$
RMS current will be \$ 45.8mA \times 0.707 = 32.4mA \$
The resistor will therefore dissipate:
\$({32.4mA})^2 \times 500\Omega = 520mW\$ - not too much, a 1W or 2W resistor will handle this okay.
Say we had just used a 6791Ω resistor to limit the current to 32.4mA, the resistor would have to dissipate:
\$({32.4mA})^2 \times 6791\Omega = 7.1W\$, quite a lot of wasted power and an expensive resistor needed.
So we use the cap to do the main limiting, and resistor in series to limit transient current (if the rise time of the transient is fast, then the cap will look like a lower impedance but the resistor will still look like 500Ω)
Regulation
The rest of the components are to rectify and regulate the voltage, in order to present a steady low voltage DC supply for the IC.
The 2 diodes handle the rectification, only passing the positive half of the waveform. This is then smoothed by the 470uF capacitor, and then regulated by the second 500Ω resistor and (probably 5.2V) zener diode.
So the whole process looks like this (ignore diode part numbers, LTSpice doesn't have any 1N4002 or similar. Also I used a 6.2V zener as there is no 5V zener. The principle is exactly the same though) :
Simulation on power up (notice V(IC) rises to ~6.2V and stays there):
Bypass caps and 10Ω resistor
The 0.1uF capacitors are indeed bypass capacitors, these present a local energy storage for high frequency current demand.
Combined with the caps, The 10Ω resistor is to decouple the analog and digital supplies to some extent.
The analog and digital ground pins are also a way of keeping the currents separate. This is common in ICs with an analog to digital or digital to analog function.
PFMON and 470nF capacitor
The capacitor needs to be rated to handle the mains voltage. There are capacitors called "X capacitors" that are specially certified for use with mains. Here is an example 0.47uF 440VAC part (picking at least 1.5 times the nominal mains is a good idea)
The PFMON pin detects a power fail event when the voltage at the pin falls below 2.45V. This can be used to signal your microcontroller and take any appropriate action. With the (0.66 times input) divider shown we can calculated the input voltage where this will happen:
\$ \dfrac {2.45V} {0.66} = 3.675V \$
The minimum operating voltage is given in the datasheet as 3.135V, so this gives ~0.5V headroom.
This site suggest they are either gtl bus terminators/pullups, or decoupling capacitors.
From the look of them, I would go with capacitors (each little chip is 4 capacitors, much like resistor packs). They are power supply decoupling caps, which act like little power reservoirs in case the power goes down/out. They help clean the power signal from drops or dips.
The reason that only some are populated is that the manufacturer uses the same standard package for different processors, different speeds and options. They make one "frame" and fill out only what they need to for it to work.
You would probably not gain anything from adding them on, and without careful choosing of parts, a full internal schematic of the chip (impossible to get), a very careful way to solder them on, you would most likely just end up with a worthless piece of ceramic and metal.
Best Answer
From what I was able to determine online, the CXM4015R was used by Sony in some PlayStation 2 and 3 consoles, and appears to do something related to analog video generation (possibly a DAC of some sort). I wasn't able to find any references to its use anywhere else, suggesting that this part may have been produced by Sony exclusively for this application. This means that information on the part will be hard or even impossible to find — as the only customer for this chip was internal, Sony may not have ever written a datasheet for the part at all.
http://psx-core.ru/forum/4-1249-3 (Russian language forum discussing PS2 modding) has what appears to be a partial schematic of the PS2, which includes a pinout for this chip.