Laurent, I'm pretty sure that's not it.
Yes it is it, when you are using the visual designer for winforms the current working directory is generally the IDE's installation folder.
For example, when I am working with the designer the working path is "
C:/Program Files (x86)/Microsoft Visual Studio 12.0/Common/IDE".
You can test it by dropping the following code into your user control's constructor and then reloading the designer (after recompile of course).
MessageBox.Show(System.IO.Path.GetDirectoryName(Environment.GetCommandLineArgs()[0]));
So you must do as Laurent said, put the CSFML dlls in the working path (not recommended if it is your IDE's installation directory) or add them to a path that is defined in the system PATH variable.
Another option is to disable SFML's rendering at design time, so you need to
check if you are currently in design mode.
And the third option is to avoid using the designer for custom controls that use SFML for rendering, instead add them in your own code in the form constructor after
InitializeComponent() has been called.