After several trial and error. I have managed to switch between modes with the following code, I don't know if it will be optimal or if it will have some disadvantage, but for now it works.
if (Keyboard.IsKeyPressed(Keyboard.Key.Enter) == true && Keyboard.IsKeyPressed(Keyboard.Key.LAlt) == true) {
auxStyle = (auxStyle == Styles.Default)? Styles.Fullscreen: Styles.Default;
window.Close();
window = new RenderWindow(new VideoMode(oProperties.ScreenWidth, oProperties.ScreenHeight), "SFML running in .NET Core", auxStyle);
window.Closed += (_, __) => window.Close();
} //Alternar ente pantalla completa y ventana con Alt-Enter