There are several possibilities to achieve what you want. The simplest way is probably a sf::Shape circle (modeling the point) which is drawn over the sf::Sprite. The problem with this approach is that all the attributes (position, rotation, scale, color) of the two objects must be kept consistent manually. This problem can be solved by a sf::Drawable that holds a sf::Sprite and a sf::Shape as member and draws them in its Render() function.
You could also modify the sf::Image directly (set its pixel colors), but then that applies to all sprites using that image.