Why would you need a Closed event for that?
Usually, your input system has a custom event type with high-level descriptions of the events, e.g. "quit". Now, when a Closed event or a KeyPressed event (with the key being Escape) is polled by SFML, you trigger the custom "quit" event and dispatch it to the other modules. These can then react individually.
In the case of quitting, it will often be enough to stop the game loop.