Not exactly as an event, but could qualify as one.
This feature would be used as a simple way to change the game's controls, when this event is run it polls if any key was touched and it returns the first key touched. Due to it's nature it's not logical (at least to me) for this kind of function to be inside the event loop. It could be as a way to poll for when was a key pressed through real-time keyboard input (without repetition of course), so you can easily get the code of an unknown key and use it for whatever programming you want.
sf::Keyboard::Key NewControl = sf::Keyboard::getPressedKey();
///Returns an invalid key code when no key was pressed.
///If multiple keys were pressed it returns the first one only.
///It could also have certain delay so that it keeps returning the recently pressed key for a short time.
This function/feature makes sense in an options menu where you want the player to easily change the input needed for the game. I suggested it as a function, but I don't know if it is really something so convenient that you can easily poll it with just that. Give your opinions towards this.