I have, for myself, a fitting solution (including key-mapping files and so on), but I do not think this could be a solution for SFML in General.
The font seems not to support the €-Sign. Is that correct, or is that an problem with the encoding? The encoding (de-UTF8/other locales to C++-intern UCS-2) is realized via mbstowcs.
All other keys seem to work, including things like <,>,µ, ², ³, {, [, ], }, \,|,~,^,°,´,`, Ü,Ö,Ä,ß and so on...
The thing is OS-dependent (I will have to edit SFML for every locale I support, and I will have to add this functionality for both Windows and Linux), and I also need a key-mapping file for every language/locale I support.