It would be a good idea to multi-thread for displaying a mouse, as any amount of lag will be noticeable, because of the delay in the frame-rate, if you set it onto a different thread, and looped it infinitely, and stalled until a signal received, you would have much better results than having to deal with game pausing, lagging, and then having to set up states (pause menu can't stall if your using a main loop to move the mouse)
because of the difficulty in multi-threading, why doesn't Sfml create such a feature? I wouldn't mind writing code for it, it can't be more than 10 line-adds/60 line-edits versus user implementation of it being much more messy?