I support the idea of adding a MessageBox function to SFML. Sure, they suck for debugging, but they are very useful for errors that should be reported to a user. For example, when you need to tell a user that a font failed to load.
Currently, one has to do:
#ifdef _WIN32
#include <windows.h>
#endif
...
#ifdef _WIN32
MessageBox(NULL, "text", "caption", MB_OK);
#endif
And you'd also obviously have to account for OSes other than Windows.
SFML might be a multimedia library but keep in mind there is a system module that basically consists of useful things that are painful to do in a cross-platform way. sf::Clock and sf::Thread don't exactly have much to do with multimedia.