I have never run into these kinds of problems, but I will read about it.
Normal Java Swing GUIs do work, right? They (the Java developers) must have found a way to create windows, so I believe it must be possible somehow.
If not, there is a plan B. That plan would be to not feature dedicated RenderWindows under JSFML on Mac OS X. Instead, one could create a simple Swing frame and put a RenderCanvas on it (planned for JSFML 1.x). I suppose that on Mac OS X, the RenderWindow(HANDLE) constructor works even in a worker thread?
It appears that the jnilib will try to load libsfml-system.dylib even if it was loaded by Java manually. This means that the users must install SFML in the default location.
Can you try running Java with the following command line argument?
-Djava.library.path=/Users/marcoantognini/.jsfml/
The java.library.path System property is used for locating dynamic libraries if they are not loaded manually using an absolute path. I tried to avoid that, because I kept running into issues with it, but it would still be a very nice solution.