The KeyPressed event is triggered at the moment a key is pressed. It doesn't care how long the key is pressed, it only cares about the moment a key is pressed.
isKeyPressed doesn't care about the moment a key is pressed, it only cares about whether the key is currently pressed or not.
Use the event when you want to trigger something when a key is pressed.
Use real time inputs (sf::Keyboard, Mouse, etc.) when you want to get the state of something.
Note that the KeyPressed event may be repeated when you hold a key, at a frequency defined by your OS. You can however disable this behavior with the
sf::Window::setKeyRepeatEnabled function.