I think you might want mapPixelToCoords instead of mapCoordsToPixel. The documentation (http://www.sfml-dev.org/documentation/2.0/classsf_1_1RenderTarget.php#a46eb08f775dd1420d6207ea87dde6e54) says
For render-windows, this function is typically used to find which point (or object) is located below the mouse cursor.
in the entry for mapPixelToCoords but not the entry for mapCoordsToPixel.
By the way,
circle.setPosition(sf::Mouse::getPosition(window).x, sf::Mouse::getPosition(window).y);
is needlessly verbose because like many other SFML functions you can just give it a Vector2X directly:
circle.setPosition(sf::Mouse::getPosition(window));
So the correct line is probably:
circle.setPosition(window.mapPixelToCoords(Mouse::getPosition(window)));