Like with a lot of functionalities in SFML, the move() function comes from the Simple in SFML. If you use your own entity class, which might then use a sprite internally, there's a high chance that you won't ever use a move(), since you most likely store the position directly in the entity class.
However if you want something very simple (probably not so nice code design), you could be using a sprite instance directly. Thus you're not storing the position separately and thus the move() function will be rather useful.
On the other hand, since the move() function is part of sf::Transformable, it can be quite useful for your own class, since you often just want to move your objects relatively to the old position, so you could just write:
myentity.move(speed * dt.asSeconds());
Where speed is a vector and dt is the frame time stored in the time class.
move() irks me. what's it doing there..? a little blemish on an otherwise perfect library. ;D
It makes more sense to use:
object.move(offset);
than:
object.setPosition(object.getPosition() + offset);