The RenderTarget base class was added to refector common code, not to provide an abstract interface that could be used polymorphically. Therefore it only contains what's required to make the derived classes work.
The problem is that some function of sf::RenderWindow are inherited from sf::Window, they are part of another hierarchy. I'm not saying that this is a problem that can't be solved, but it's a little more complicated than just putting a 'virtual' keyword in front a the setActive function.