If you perform a blocking connect, it will just block until either the timeout expires or it is successful or unsuccessful, you can determine this from the Status code that is returned.
If you set the socket to non-blocking, you tell it to perform an asynchronous connect, meaning you will not be notified upon a successful or unsuccessful connection attempt. That is how event based network APIs work and also how IOCP in Windows functions, but because SFML makes use of the POSIX network API there is no way to directly do such a thing.
In case you set the socket to non-blocking you don't really need to check whether the socket is connected until you really want to do something with it. You need to ask yourself, what would you do if you did have a function like you described? The only things you might do would be to decide whether to make use of the socket or not, and since this is implicitly done through the attempt to use the socket and checking the return code, such a function wouldn't really make sense in non-blocking operation if you ask me.
Since both cases are covered, it really doesn't make sense to have a isConnected() function, because it is up to the programmer to decide how they want to determine that for their specific scenario and cannot be done in a universal way.