One big benefit to the event style is for order dependent processing of keys, such as typing a name. You don't want to have to manually do an isKeyPressed for every possible key, instead the event will tell you which key was pressed so you can add it to a string.
Although the direct style is what I prefer for game related controls, since for those you need to track the state of a key. An event is fine to start a player jump, but to run to the right when you hold a key, that needs to track the presses and releases to know the current state if you used events.
I use my own wrapper on top of sfml's events that lets me query if a key (or mouse button or xbox controller button) was pressed since last update, released since last update or current held down.