Try doing this and see if "2" is printed with 5 sec delay.
std::cout << "1" << std::endl;
sf::sleep(sf::seconds(5.0));
std::cout << "2" << std::endl;
Testing sleep by moving a window is not the best way, because OS may handle window movement in another thread, I think.
Have you tried separately from your project?
Try this complete example:
#include <SFML/System.hpp>
#include <iostream>
int main()
{
std::cout << "1" << std::endl;
sf::sleep(sf::seconds(5.0));
std::cout << "2" << std::endl;
return EXIT_SUCCESS;
}