So it's not a simple pixel copy, the sprite has to go through all the rendering steps (transform, rasterization, pixel shader, alpha blending, ...), which are all done by the graphics card. So it's not the simple pixel-based blit that SDL provides, it's a lot more complex.
Rendering to an image (just like to a window) is already implemented in SFML 2, with the RenderImage class.
Note that for simple copy, you can use the Image::Copy function. It's a simple pixel copy, but it's enough if you just want to compose an image from several ones. And it handles transparency