A bit of a bump here, but I am having the same problem. Tried the test program and got the same result. Happens on one of my 64-bit systems. Nvidia proprietary driver.
I too was bumbling around with the code and noticed that only one visual was being returned by XGetVisualInfo (nbVisual is always 1), so the whole sorting by best visual does nothing.
I am running SFML 2.0 latest git (I changed the test code to use PollEvent rather than GetEvent).
glxinfo reports quite a few views that support multisampling. They all have Ncon caveats though.
Sorry, but I don't know too much about the details. Would be nice to have antialiasing though. My glxinfo is near precisely Ockonal's.