I'm not sure what do you mean by "features", you need to be more specific.
SFML doesn't implement a concept of "entities", so this is something you would need to design and create yourself. I don't know what is a "decent" amount of entities that you're talking about - and I also don't know how complex your entities would be, however, if it's something bigger than a sprite (i.e. has its own logic, process manager, responds to events etc), then it will be largely dependent on your own implementation and will have little to do with SFML. In fact, usually the only parts when it would be touching SFML would be during the drawing part and the audio-playing part (if your entities make sounds).
Drawing should be fast even with thousands of entities being drawn at once - given that you implement it properly (i.e. sending a large batch once as opposed to many small batches at different times).