Player presses 'J', that 'J' is immediately drawn on screen..
sf::String playerInput;
sf::Text playerText;
...
if (event.type == sf::Event::TextEntered)
{
playerInput +=event.text.unicode;
playerText.setString(playerInput);
}
...
window.draw(playerText);
You see, nothing really complicated ;)
You need to draw the text object to the window at all times, not just when it is updated/when there is an event.
The text object is the graphical representation of that text and it needs to be drawn on every frame that you wish it to be seen.
move window.draw(playerText); so that it is directly before window.display();
EDIT: corrected "explicit fix"