CeGUI has many backends, including openGL, that SFML can use. But CeGUI doesn't use SFML directly, so you don't need SFML to use CEGUI.
CEGUI is a bigger project, but may also be a bit harder to use (damn, it's getting cliché in here).
You can probably do everything you want with any of them. I chose CeGUI, because not all of my projects use SFML, but there's no bad pick with either one.