Nothing in SFML can really be assumed thread-safe.
Note that OpenGL doesn't play very well with multi-threading, as such it's generally recommended to not do any OpenGL calls (include SFML internal ones) in separate threads.
My recommendation for working with resources/images is to load the images with sf::Image in parallel into memory. This is the slow-ish part of disk reading and decompression and doesn't use any OpenGL, as such won't cause issues with OpenGL contexts. Then as a second step, you load the image data from RAM to VRAM in the main thread with the help of sf::Texture.