As was already said, there's no common file formats, as such we would have to create our own format, which is definitely not what SFML is made for. We provide texture loading because there are common formats and because these formats are the standard way to provide image information, as such everyone would have to write the same code.
As for your request, you're the first one that wants a SFML specific format that can be loaded, as such neither the format nor the use case is common and thus such a feature would be specific to your code.
All the rest has been said above.