I have needed this in the past, and ended up adding it to my local version of SFML.
It was a while ago, so I can't remember the exact use case. IIRC it was something to do with loading resources before the window opened causing issues because of some openGL stuff I don't understand.
From memory, the windows implementation was very straightforward, especially if you're familiar with windows API, so if there's no complications on other platforms I'd fully support this request.