When I rotate an image using the Windows explorer context menu options "Rotate left" or "Rotate right" the new image rotation is not picked up by SFML if it's a JPEG. The image is simply loaded in its original orientation.
This problem is not present with PNG or BMP files.
Out of curiosity I compared the original and rotated versions of both PNG and JPEG files in a hex editor and found that the bytes indicating the image resolution are indeed flipped for PNG but not for JPEG.
This leads me to believe that the problem lies more within Windows than SFML, but still raises the question why other programs, like paint.net and Photoscape, are able to detect the rotation.