That would be causing unnecessary overhead for everyone not using that "feature" I think.
Besides that, to actually retrieve the event the window has to be known to your code, so why don't you pass it in a second parameter or as part of a bigger structure, something like this:
struct EventData {
sf::Event event;
sf::Window *window;
};
On the other hand, this might also be some general design issue in your program. Are you really sure you need that? You could also translate mouse coordinates before passing them to your own code, i.e. never pass the original event.