I remember researching this a while back, because I was also interested in this feature.
On Linux is seems fairly straight forward. There are some ioclt and file wiriting calls and thats pretty much it. There is some information in
the kernel doc.
On windows the whole thing is a little more complicated in our case. If I recall correctly SFML is using the windows 2000 (by now deprecated) multimedia joystick API. Force feedback is not supported there. For that you have to use the DirectX DirectInput system. This means we would have to rewrite the
sf::Joystick windows implementation to use DirectX. But maybe that has to be done at some point anyway. My research kinda stopped there, because I don't have much knowledge of DirectX. Also I don't know if using DirectInput means that you have to provide DirectX Redistributables with every SFML application (with would suck) or if windows already provides it automatically.
I have no idea about MacOS, but I guess it may be them same as on Linux.
Maybe this information is usefull for somebody. For the interested
this is how SDL does it.