Not in the slightest clue what's going on but for some reason the arrow keys don't want to work but if they aren't hit first none of the other keys work until at least one of them is clicked once.
Seems the KeyPressed event isn't firing for the arrow keys but does for KeyReleased event. Not sure what's going on but too tired to post a min example right now due to fight with this strange issue all day and wasn't sure what was going on.
Everything works just fine if the SFML window is all by itself but the arrow keys don't seem to fire the Pressed event when in a SFML Window is in a form.
I'll post an example at some point tomorrow when I get around to it and see if I can replicate it.