Yeah, that was also my first thought... but it works for example with Up+Right+Space... and I think there isn't a big difference between Right and Left arrows in my keyboard... So I thought it must be a problem inside SFML.
Edit: I tested a bit more... it seems, that there really is a problem with Left+Up+Space, if you press two of them, the third key won't be recognized anymore... but if I press Down instead of Up, or Right instead of Left, everything is fine. :?: