Since I've built all the SFML dependencies not so long ago I know that it can be a pain. Question is however, why did you build SFML's dependencies when
we provide them all already?
Since you asked, here are the obvious question: The linked library is maybe a year old, while SFML is slightly older. libjpeg is used by thousands of applications and as such can be trusted enough to work on all kinds of hardware. Changing dependencies is something that shouldn't be done very often, since it will break people's build systems (missing libraries, linking unneeded libraries, etc).
I don't know how well TinyJPEG has been tested and what its performance is, but generally I wouldn't mind switching away. I think for the VS universal builds I even used the JPEG Turbo code, since their build system works at least!
Would be interesting to hear the opinions of other team members.