I'm quite annoyed by SFMLs messages on failed Connections or on failure to close sockets.
I don't think it is the work of a portable library to warn the user about such things, for he should not be interested in them - and especially for the network, there are many reasons for a Socket failing to close or to accept an incoming connection, not always assoziated with the work of the programmer. Furthermore, the warnings can not be internationalized - there are a lot of reasons for not using the console output (especially for the network classes, warnings on missing images for example are okay). You might deactivate them for example when NDEBUG is defined.