In a recent attempt to use ImageMagick in conjunction with SFML I literally spent hours tracing down a bug that I do not want other users to stumble into.
SFML currently provides its own versions of libpng and libjpeg directly in its source tree. That in itself isn't a huge problem but when you link a library that has a different version of libpng there will be trouble along the lines of:
terminate called after throwing an instance of
'Magick::ErrorResourceLimit'
what(): Magick: memory allocation failed `test.png' @ error/png.c/WriteOnePNGImage/6433
Aborted
It may look like an ImageMagick bug but it is actually a libpng API mismatch since ImageMagick builds in libpng 1.4 and SFML still uses libpng 1.2. A similar conflict can be observed with libjpeg.
A quick fix to this is to update those outdated libs now (SOIL probably as well) and in the long run give distro packagers a make target for using system-available packages.
Windows users probably don't care to have the versions of the external libs match up with their system installed ones as most people will not install those system wide. Windows users will still benefit from updated libpng and libjpeg versions.