There's no shape class for lines. The reason is simple: If your line has a thickness, it is a rectangle. If it doesn't, it can be drawn with a line primitive.
- Shapes tutorial (
Built-in shape types - under "Lines")
It also shows you how to draw them.
In that very Shapes tutorial, in the
Custom Shape Types section, you can find a complete Ellipse shape type.
A number of other shapes can added on top of the sf::Shape base. It has restrictions though. Mainly, it's a triangle fan so cannot create all shapes, especially if it's concave or has a hole in it (like a ring).
Any other shape can be created using a
vertex array.
Some things have already been created to save you from having to do it yourself.
Selba Ward, for example, is a collection of drawables that can reduce the amount of stuff you have to create yourself. It includes lines and polylines (
Spline), which would replace any need for you to make your own line class, especially since it does connected lines, thick lines, and Bezier curved lines