The transformations are not applied as you call the setXxx functions, they are applied when the object is drawn. So no matter how many times, and in which order, you call them, only the last value (for each transformation) will be used, and always in the same order since this order is fixed in SFML.
So, you can't rotate around a point while keeping the default origin. If you change the origin, all the other transformations will be impacted by it.
If you want more flexibility (ie. the ability to combine any transformation in any order), you must use the sf::Transform class.