I ran into this problem a couple of days ago
It's because the differend unwinding systems. There is sjlj (which is default, if you're using Mingw-TDM on Microsoft Windows, which I assume), and dw2. These are related to debuggers (AFAIK), and the difference is in exception handling speed and so on (according to mingw-tdm's site).
I don't know exactly, what I did, don't even know how or why there were a dw2 version of a library, so I messed a lot, bored with it, deleted everything (except my own code, of course:)), redownloaded sfml, recompiled it, and worked like it should
I suggest you the same, just without the messing part (which you have already done, I assume
)