By pressing the Print Screen key, you request to send the data to the clipboard, but SFML does not have clipboard support,
at least not yet. Hence it will only send the data to the clipboard that was at the start of program, or more precise, when window was opened.
(Or at least I think it works that way
, a more experienced SFML user would answer that better than me. )
It is still possible to capture the screenshot from the window by using window.capture() function and then saving it to a file.
Also while we are at it, the SFML does not recognize the Print Screen key either, so if that bothers you, you should check
this topic too.