Are you sure that this particular piece of code produces the result shown on your screenshot above? I just tried and the SFML thread appears to have a normal priority, as expected.
It isn't but the process was the same, I'll post the code as soon as I get home since I don't have the project in this computer.
EDIT @ 4:40pm:
In this computer I have Visual Studio 2010 and I tried compiling the code I posted, and apparently I get normal priority as well. At home I compile with VS2008, that's what I used to compile the original code, thus getting the "lowest priority" issue.
Again, when I get home I'll check this. Could the problem be in VS2008?
I should have tested this before asking...