Meaning that you had a circuit like this?
| V - | SOURCE o-------. LOAD | | --- (METER) --- | | | >-------o-------o--------->
If so, then the meter would fairly accurately measure peak voltage, minus the Vbe of the diode (about 0.7V), gradually falling due to leakage in the capacitor. The peaks will charge the capacitor through its effective series resistance, which (depending on what kind of cap you used) might be as high as 10 ohms or might be a thousandth of that. To charge to 2/3 of a voltage difference takes RC of time, so if it was 10 ohms at 2uF, that would mean that if the V on the cap was 100V and a 200V peak came along for 20usec, the cap would then show 170V. If the peak lasted 40usec, it would get to 2/3 of the remaining difference, i.e., 190V. And so on. Leakage and effective series resistance are orders of magnitude higher in electrolytic caps than in other dielectrics such as polypropylene, so your results will depend on what kind of cap you used. I trust you used a cap that was rated for that much voltage...