It depends on how much data you are sending inbetween each subsequent receive call.
Each TcpSocket has a receive buffer, which will store data until it is read by it's recv function. If the buffer is full the other sides send will either wait until the it can actually send more data in case of a blocking socket, or in non-blocking mode return EWOULDBLOCK or EAGAIN.
The size of the Tcp buffer is depending on the system, for example MSDN says the standard receive buffer size in windows is 8192 bytes.
Edit:
Forgot to mention what a UDP socket does, but I guess that is pretty clear.
Cannot fit into the buffer? Well then... drop it ^^
Edit2:
Just looked at the SocketImpl at it appears that in case of an EWOULDBLOCK (and its windows equivalent WSAEWOULDBLOCK) error from the Socket, the SFML status would be Socket::NotReady, and in case of EAGAIN it would just be Socket::Error.