Its not a problem for anyone with a well structured development environment actually. This "problem" isnt specific to SFML, its how it works for everything, especially on windows.
However, like with *Nix, you can just chuck your dlls into system32 and you dont have this problem anymore, but dont do that.
Its also worth noting that when you link statically, you also do not have this problem, you should consider doing that if this bothers you so much.