I've noticed that my windows only gain focus (understand producing sf::Event::GainedFocus and bringing input to that window) only when clicking at it's border, not inside o the window. It's a little annoying and I'm somewhat sure it didn't happen in previous SFML versions (but it's too late for another testing.. ). Other means of gaining focus work fine (alt-tabing, picking up from taskbar,..).
I'm using SFML 2.1 32bit on Windows 8 64bit and can bring up more details if needed, like minimum code to reproduce, however it happens with 2 of my programs using SFML, so it looks like consistent issue.