I'm currently changing all strings in my application to Unicode::UTF32String. The only way to properly create a new UTF32String is by using Unicode::Text, but it's not really a suitable solution, since you need to construct a temporary object to get an UTF32String. Example, using a constant:
sf::Unicode::UTF32String str( sf::Unicode::Text( L"Hello World!" ) );
Since Unicode::UTF32String is actually a basic_string<Uint32>, I don't really know how to make that beast more graceful. But I dislike the idea that I can't immediately construct an UTF32String with a value.
So my opinion is that there should be an utility function that builds an UTF32String, at least from well-known types like const char*, const wchar_t*, const std::string& etc.
If there's another possibility I didn't see yet, I'd be happy to hear from that. In this case, declare this request as a request for help.