Following with the topic, is it allowed to compile all into the program .exe? And if allowed by the license, is there any practical way to do so? Thanks in advance.
Just link to the static libraries ("-s" suffix).
Basically, every "technical" question is allowed, there's absolutely no restriction. The license is only about source code distribution / modification and not claiming you're the original author.
Permission is granted to anyone to use this software for any purpose,
including commercial applications, and to alter it and redistribute
it freely, subject to the following restrictions:
1. The origin of this software must not be misrepresented;
you must not claim that you wrote the original software.
If you use this software in a product, an acknowledgment
in the product documentation would be appreciated but
is not required.
2. Altered source versions must be plainly marked as such,
and must not be misrepresented as being the original software.
3. This notice may not be removed or altered from any
source distribution.
The libsndfile and openal libraries are LGPL and will always be linked dynamically, but anyway this is handled by SFML. Here we're only talking about SFML libraries