Hmm, I don't see any of the mipmap-related OpenGL functions/constants in the SFML source, plus I see this comment in the opengl example:
// Load an OpenGL texture.
// We could directly use a sf::Texture as an OpenGL texture (with its Bind() member function),
// but here we want more control on it (generate mipmaps, ...) so we create a new one from an image
So I think it's safe to assume SFML doesn't auto-mipmap stuff for you. Of course, SFML is intended for 2D graphics, so I don't think auto-mipmapping would benefit anyone anyway.
Regarding your main question: tl;dr no it's more complicated than that.