As a game engine like Game Maker you can make such messaging system, but that requires a specific design on how to integrate networking and your messaging system.
SFML is not a game engine and merely provides a cross-platform API that abstract the basic OS and OpenGL functionality with some additional tooling. Events as in key presses, mouse movement and joystick actions are all provided by the OS event system and thus provided as events.
For networking, SFML just provides you the bare tools of working with sockets and allows you now to build up on top of it. If you use some custom message bus system, you could integrate a network module to produce network messages and to receive other messages and generate network calls, but that's not a design SFML wants to provide, as it can be very opinionated and built specifically for someone's need.
To reiterate, SFML is not a game engine, but simply provides a cross platform API to various OS or OpenGL functionalities.