If you need that functionality anyway, just create your own fork of SFML and add it. Once done you can always ask again (e.g. by bumping this thread) or creating a pull request.
I thought about it, but after some time I would not get new SFML features, so it's not really good idea.
like what does "to implement more complicated proxies" even mean? What's a more complicated proxy?
A proxy that requires something more than one message at the beginning to keep it active and working properly.
Since you mentioned SOCKS, should SFML implement a server or a client or both?
Client, SFML (and C++) aren't good choice to write servers and no one would really write such thing using those two.
What is that setProxy function part of?
Any class that could connect through proxy, like sf::Http, sf::Ftp or sf::TcpSocket.
What's an "Abstract sf::Proxy"?
Abstract base class that would be inherited by sf::HttpProxy, sf::SockProxy etc.