I know that it works, I have used 32 bit integral textures for a geometric meshing application. But other texture formats are currently not supported by SFML, and I don't think they will be in the near future, since it's a rather advanced feature that only few people require for 2D rendering.
As stated, you should try to use OpenGL directly (or emulate the functionality somehow with smaller texture formats). You can use OpenGL on top of SFML, so you don't need to rewrite everything.