Please post a complete a minimal CODE example that causes this problem, without we can NOT help you.
I m not using the Events, I m just using Keyboard.IsKeyPressed(), ... I feel I can guess it s wrong?
I made a Mario game with C# .NET and SFML
but at its background the app still running Ok but the screen has turned gray ... and if I press "Wait for the app to respond", the letter leaves and appears once and again
Without a minimal example I can only guess. If you are using the .NET package for SFML you still need to call
RenderWindow.DispatchEvents()
If you do not call that then the system event queue will stack up in your window unprocessed and cause windows to think that your application is not responding.
I was ignoring them cos I have the intention to use multiple threads in my program soon, and thought that using that class would make it impossible ...
Apparently you are new to programming (as this thread shows), so I highly recommend you do not touch multi threading. Multiple threads just add unneeded complexity for no gain to a program. Very rarely will a 2d game need to have multiple threads, so unless you discover a bottle neck that threading could solve do not multi thread your application. Be wary of premature optimization.