Because of this:
http://msdn.microsoft.com/en-us/library/aa288208%28v=vs.71%29.aspx
You need to use this static prop instead of newing in the RenderStates:
https://github.com/SFML/SFML.Net/blob/master/src/Graphics/RenderStates.cs#L97
RenderStates states = RenderStates.Default
Structs are zeroed by .NET so that RenderStates is actually incorrect and has Transform filled with zeros that destroys all geometry.
This was mentioned before, BTW.