The position of the sprite is the position of the mouse at the time you get that mouse position. It then takes a little time to process the frame/tick/cycle and then draw and display the window by which time the mouse may have moved slightly.
Although, it only lags when moving very quickly (at maximum, only one frame), the position that can then be used for calculations is the position of the mouse exactly.
It is possible to replace the actual mouse cursor but this requires more specific operating system code and is (currently*?) outside of SFML's scope.
p.s. Notice that you only really notice the apparent lag when you see the two together. It's reasonably responsive enough and the "lag" is pretty much invisible when you can't actually compare the two.
* there has been discussion about implementing this in SFML and there is certainly at least
one pull request so it looks like it may possibly be included in a future version.