The main menu on the website is already full, I can't add new sections (bad design, I know...). So I don't know where such a section would go.
I think you should rearrange the menu items, according to their relevance and the frequency they are clicked. For me, the important ones are Tutorials, Doc, and Forum. Especially the latter two are constantly required, if you actively use SFML. License is secondary, one usually looks at it only one time. Download is only relevant each time a new release happens, or not at all, if you use the Git revisions. Wiki and Bugs are of medium importance.
I suggest to merge rarely used categories. For example, you could make an item Overview or similar, which includes Features and License.
Supported formats... is there any major format that is not supported?
MP3 for example.
I mean, listing image/sound/fonts formats feels like we're back in the 90s. Now it's a basic feature that every library has.
Maybe, but it still saves people from searching everywhere or asking in the forum. And the feature list would not only be about the formats. One would get a detailed overview of the library's capabilities, without skimming through the whole documentation. As mentioned, it is a good starting point to decide whether SFML is suitable for a project.