Thanks for help, but I found the mistake. I just did the setTexture() and setPosition() in the MainMenuState constructor, not in the Game constructor anymor. Now it works.
MainMenuState::MainMenuState(Game* game)
{
this->game = game;
this->game->sPlaybutton.setTexture(this->game->tPlaybutton);
this->game->sPlaybutton.setPosition(322.f, 277.f);
this->game->sOptionsbutton.setTexture(this->game->tOptionsbutton);
this->game->sOptionsbutton.setPosition(835.f, 405.f);
this->game->sClosebutton.setTexture(this->game->tClosebutton);
this->game->sClosebutton.setPosition(485.f, 639.f);
}