You can do what I did and implement a sprite as the cursor.
call
<window name>.setMouseCursorVisible(false);
to turn off cursor while inside the window.
Then within your window make a sprite with the cursor texture you would like.
Now all you have to do is set the sprite origin to the cursors location
sf::vector2i mouse = sf::Mouse::getPosition(<window name>);
<cursor sprite>.setOrigin(mouse.x, mouse.y);
For me personally I had to change the coordinates to negatives before I saw the cursor flying around my window. I'm not that knowledgeable in SFML so I don't know if that's how its supposed to be.