It's because windows are not just the content, they are also decorated, they have the borders, the titlebar and a bunch of buttons (close, minimize, etc.).
The size you get/set in SFML is just the size of the content (the rendering area) itself, it doesn't include the decorations.
There are some mentions of this in
http://sfml-dev.org/documentation/2.1/classsf_1_1RenderWindow.phpOh, and this is not .NET specific, it happens in all languages.
