There is a difference : The files from mongrol were containing a string like this 'hello\nworld', with the \n as two characters '\' and 'n'. The SFML was writing each character.
Your files (from DOS) are certainly containing something like this 'hello'\n'world' meaning the character '\n' is an escaped character (byte) of value 0x10 (10 in hexa => 16 in decimal, n is the 16th character).
So this is very different, but, the SFML is not going to add a 'new line and return' to your sf::Text (or sf::String depends on 1.6 or 2.0). You'll have to do it yoursef
Ehm, I don't know if what I said is clear, if not you can ask again