I accidentally erased the line where I added an sf::Event when I was pasting it, it's now edited back in.
Anyway, I tried your test and it's giving me an AA level of 1. I'm not quite sure why that is, but yeah.
I decided to create a project on my laptop to see if it occurs there, and it actually works fine on my laptop, so it looks like it might just be a problem with my desktop.
My desktop is an AMD FX-6300 3.50 GHz, 4 gigs of ram, with a geforce GTX 470. Not sure if any of that is relevant.
edit: Considering this problem didn't occur in the past on my desktop (I have some old screenshots of SFML projects that I checked), I wonder if it's because of a video card driver update?