Works like a charm here.
Are you should you did a full & clean rebuild?
Yes, I did a full rebuild, with the rebuild button. Still no luck.
Should I mention that the other windows are GTK+? They seem to behave correctly. It's only the SFML window that's not working correctly. When I click on the body of the SFML window, all windows lose focus, as though I had clicked empty space on the desktop. I didn't have this problem back when I was using SFML 1.6.
Edit: Just for fun, I tried using the "GCC 4.7.1 TDM (SJLJ) - 32-bit" instead of the "GCC 4.9.2 MinGW (DW2) - 32-bit" version of SFML. Still didn't help. I suppose I could try building SFML myself, I guess...