I didn't say anything about GPU and fail to see how it relates to the subject.
Well, it's simple: after loading, the CPU basically does nothing more than sending a bunch of commands to the GPU, and all the job (which consists mainly of drawing things) is done there.
Also I'm not trying to solve magically everything with multi-thread
So you've performed tests or analysis that demonstrates that more threads should theoretically speed up the process?
I know that when I'm using similar code without sfml-stuff it works perfectly.
Does "without sfml-stuff" mean "without involving the GPU"? Of course there are situations that benefit from multi-threading. But every situation is different.
I'm here to find out how to use sfml correctly
You use SFML correctly (as far as I can tell -- I didn't spend too much time on your code yet). What I'm trying to say is that the problem may be totally different from what you think. You may be using multi-threaiding incorrectly, or even everything could be correct but multi-threading has no benefit in this particular case.
Can't believe that library like sfml works only single-threaded.
It doesn't.
The best I can say is: analyze or profile your code to figure out what's really happening, ie. why your threads don't speed up the process (ie. they must be waiting on something instead of doing stuff in parallel -- hint: GPU).