First-principles dynamical CPA (Coherent-Potential Approximation) for electron correlations has been developed further by taking into account higher-order dynamical corrections with use of the asymptotic approximation. The theory is applied to the investigations of a systematic change of excitation spectra in 3d transition metals from Sc to Cu at finite temperatures. It is shown that the dynamical effects damp main peaks in the densities of states (DOS) obtained by the local density approximation to the density functional theory, reduce the band broadening due to thermal spin fluctuations, create the Mott-Hubbard type bands in the case of fcc Mn and fcc Fe, and create a small hump corresponding to the '6 eV' satellite in the case of Co, Ni, and Cu. Calculated DOS explain the X-ray photoelectron spectroscopy data as well as the bremsstrahlung isochromat spectroscopy data. Moreover, it is found that screening effects on the exchange energy parameters are significant for understanding the spectra in magnetic transition metals.