To some extend it certainly also comes down to personal preference. I mean, why a shared library at all, why not header-only?
Fact is, that only with a modular library you can pick and choose the feature set and connected dependencies you need.
C++ library linking situation simply isn't that great as other languages dependency management. This affects us as much as any other library out there. People having trouble linking one or multiple libraries isn't really a problem SFML should try to "solve", because it's not that this is a complex thing, but it's just something you have to learn when working with C++, yet a large percentage of SFML user have little to none C++/programming experience. We shouldn't base our decisions around that group of people.
Also not forget, with a monolithic SFML library, you'll also have to always ship the OpenAL.dll (on Windows) regardless whether you use SFML's audio part or not. And as Laurent mentioned, you wouldn't be able to run SFML on a headless setup.