I think he means the all-so-common application icon under Windows which is displayed on the caption bar of the application, on the Windows task bar and in the Windows explorer as application's icon.
Probably he expected sf::RenderWindow to have some function SetApplicationIcon, but since SFML is cross platform I don't know whether that's possible or even a good idea.
In case it shall be able to set an application icon I assume in the end it goes here:
00265 void WindowImplWin32::RegisterWindowClass()
00266 {
00267 WNDCLASSW WindowClass;
00268 WindowClass.style = 0;
00269 WindowClass.lpfnWndProc = &WindowImplWin32::GlobalOnEvent;
00270 WindowClass.cbClsExtra = 0;
00271 WindowClass.cbWndExtra = 0;
00272 WindowClass.hInstance = GetModuleHandle(NULL);
00273 WindowClass.hIcon = NULL; // <=== ICON ===
00274 WindowClass.hCursor = 0;
00275 WindowClass.hbrBackground = 0;
00276 WindowClass.lpszMenuName = NULL;
00277 WindowClass.lpszClassName = ourClassName;
00278
00279 RegisterClass(&WindowClass);
00280 }