I'm sorry for resurrecting an old thread; I believe it's still relevant, however, as the problem still exists. (I'm aware that this is being fixed in the library)
I ended up on this thread because I was having this problem too. I came back because I found a simple workaround. It may be bad practice but it seems to work until the fix is applied.
This is for Windows only. You'll also need to
#include <Windows.h>
If, in your main loop, you put the code:
SetForegroundWindow(renderWindow.getSystemHandle());
with "renderWindow" being your RenderWindow object, it should allow you to click the client area to refocus the window. Oddly, it doesn't actually set the focus of the window or activate it by itself as it is supposed to.
I hope this helps for now. I'm looking forward to the new version of SFML (hopefully with a VS2013 build as my build seemed to fail at creating debug libraries
)