There is no problem anymore
It would be nice to have these flags in the mouse events too, but it's not very important.
I came up with the idea because I thought SFML polls the events from the OS in another thread and when you call pollEvent it only returns the events generated by the "polling" thread. Because of that i thought the state of the alt/ctrl/system.. key could change in the time from the "polling from the OS" and the handling of the event in my code.
But since SFML ask for the events from the OS during the window.pollEvent call this isn't a problem.
AlexAUT