Two things that I'd find awesome are these:
1.
If possible, render and audio context management. In other words, separate the contexts out from the Window and wherever it is stored for the audio into sf::RenderContext and sf::AudioContext and provide an API for using custom contexts. This would make it way easier to integrate SFML in certain situations and would mean better ownership-based design with less magic stuff going on. That magic stuff is sure arguably easier and more simple but I find that in the long run, it is a drawback.
2.
I am a fan of Emscripten and I have written some code in my own game framework to make it compatible with emscripten out of the box. This means that any game I make with my framework, I can easily compile to have it run in the browser. Some silly examples:
bladepit ants space. As you can see they run with good framerates and it is just javascript and webgl so will work on pretty much any browser that supports that.
![Smiley :)](https://www.sfml-dev.org/forums/Smileys/default/smiley.gif)
Would be neat to have web-compile capabilities for SFML as well!
For emscripten support, what is required is a special way of handling the main loop so that the browser doesn't freeze, and compiling all the dependencies, and tieing browser events to the SFML events. It could be hard to support _all_ the features of the Window module since the browser app acts pretty different to a desktop application but that can be alright imo as long as it is well documented.