Guess it's working as intended. It's quirky, yes, but I think this is intentional, considering the POV originated as a coolie hat. Due to this X is indeed forward/backward, while Y is left/right. I'd say leave the current behavior, but add a note to the documentation, maybe even some simple vector graphics explaining orientations?
From MSDN (note this is about DirectInput):
Hat switch controls must report a Null value when not pressed. When pressed, the logical minimum value represents north, and increasing logical values represent directions equally spaced clockwise around the compass. For example, Table 2 describes two different types of hat switches, one with eight positions and one with four positions.
Of course this speaks of enum/logical values rather than angles, but I'd say it's just the logical next step. The important part is the orientation: 0 degrees is north here.
So SFML's orientation is correct and it's obviously not hardware dependent (as long as the hardware follows these guidelines). So question is which orientation should SFML use? How's the orientation on other platforms?