Hey what your talking about is pixel perfect collision, the intersects function that SFML has built in would act at bounding box collision. I believe that SFML doesn't have pixel perfect collision built into it, I think I remember reading something similar to this before.
Hmm you probably could code it yourself, you have access to all the pixels of your sprite, I'm not sure how efficient it would be but could be a fun project for you I'm sure, teach you a lot more about the basics of collision detection.