Just search the forum. There are plenty of threads.
Some of the SFML classes have interdependencies that go wrong when the classes get destructed in the wrong order (which you lose control over with globals in different translation units).
And even if you don't get crashes, designs involving globals (including singletons, which are just globals by a different name IMHO) are usually bad anyway for loads of other reasons (tight coupling, hard to refactor, multiple globals depending on individual construction/destruction order, globals being constructed before main() and destroyed after it ends and not being able to deal with that, functions having hard to predict side effects due to modifying globals, objects living longer than they need to (since they are global) and needlessly consuming resources. Etc etc etc).
Just try to avoid globals - please ;-)