Just to confirm, yes, SFML works fine on Big Sur.
Keep in mind that since macOS Catalina, you'll get a popup at start, that requires keystrokes permission whenever you're using
sf::Keyboard::isKeyPressed(). If you just use events, then you don't need to provide that permission.
The message you mentioned does
originate from SFML, but not sure why you'd run into this on your end.