Forgive me if this has been requested before, but I couldn't find anything related to this so I'm going ahead making this request.
I don't think SFML needs to handle much file I/O for you. It already loads major file formats like bitmaps and .png's, .wav etc... Other things are up to the user of SFML to do.
One thing that I think would be really handy though...
If you wanted to do something like go in a folder and detect what files are there (say the players different saves) you have to use OS specific code to do so. This adds some complexity to keeping your game cross platform.
Personally just think it would be neat if SFML had a solution to detecting files and directories.