SFML doesn't provide many shapes - only the basics (circle and rectangle really, although they provide an example of an ellipse).
It does, though, provide you with the ability to create your own. Vertex arrays are one of the most powerful ways to do so; it just requires that you make it yourself but it isn't that difficult.
If you would rather someone else did all of this for you, fear not! I have already created things that do this sort of thing for you (e.g. multiple lines - thick or thin, circular arcs with thickness).
Take a look at Selba Ward (https://github.com/Hapaxia/SelbaWard/wiki). Its thread on the SFML forum is here: https://en.sfml-dev.org/forums/index.php?topic=19496.0
For connected (and/or curved) lines with or without thickness, try Spline (https://github.com/Hapaxia/SelbaWard/wiki/Spline):
(http://i.imgur.com/2zzYDrD.png) (http://i.imgur.com/wpNKarD.png) (http://i.imgur.com/t85IW67.png)
For circular arcs with thickness, try Ring (https://github.com/Hapaxia/SelbaWard/wiki/Ring):
Ring
(http://i.imgur.com/76RUYvz.png)