Thank you very much for your answer!
I blindly assumed that
sf::Shape line1 = sf::Shape::Line(300.f, 100.f, 350.f, 100.f, 1.f, sf::Color::Blue);
means "Make a shape with two points, with origin(0,0) relative to the shape, which is (300,100) in absolute coordinates in this case".
If only I had carefully read sf::Shape's detailed description. Sorry.