I read that there is a limit of 256 sounds that should never be acceeded.
The "256" limit is an implementation detail of OpenAL-Soft, and might depend on the OS. So, for any detail about it, you should rather search there.
Does this limit refer to the number of instances of the sf::Sound class or the number of instances where a sound is actually playing?
It refers to the number of sf::Sound and sf::SoundStream (and derived classes)
instanciated.
Furthermore, I guess that this limit is related to multithreading
I think it's rather related to the audio muxer. OpenAL-Soft uses a single thread, so there's no real multithreading.
Hence I'd be interested when the thread playing the sound is created
I have no idea; again, it happens inside OpenAL-Soft.