When setting the center of the circle, it's relative to the top left coordinates of the circle, not the whole window. I was trying to figure this out and made the mistake of assuming otherwise, but I was able to figure out, in case anyone else looks at this thread in the future and wonders the same thing.
sf::Shape myEllipse = sf::Shape::Circle(200, 200, 60, sf::Color(255, 0, 0));
myEllipse.SetCenter(30, 30);
myEllipse.SetScale(2, 1);
Instead of writing the SetCenter function like...
myEllipse.SetCenter(230, 230);
Solves the problem for me when scaling the circle.