Imagine the two following scenarios :
1- Each copy is still linked to its owner window, and receives its events. It wouldn't help much in your case as the copy would always be in the same state as the original one. Plus, it would hurt performance if creating many copies.
2- Each copy is disconnected from its owner window and becomes inactive, left with its last state. To me it wouldn't make much sense, and could be misleading for beginners.
So even if it could be useful in some cases, I think making sf::Input non-copyable is the only good solution.
But keys state is just an array of booleans, you can easily duplicate it.