Yes, that would be very useful. However, if we want a really robust and well design API for that in SFML, it will take considerable time and effort. If we are pragmatic about this, we should not do it at all.
Why? Well, many libraries already do it. I'm pretty sure boost has something for that. Also, with C++17, there will be a standard filesystem API. By the time we implement something in SFML, this would already be available to most users.