Looks great!
I've 2-3 remarks though.
Wouldn't vector be more efficient here (instead of list) ? (Insertion is only at the end so it's should be O(1) most of the time, and iteration is quite frequent in this class so it should be faster with continuous memory.) I know that at this scale it doesn't really matter which collection you use but it's a good programming practice.
On the style level, using a
typedef std::somecollection<sf::Text> CollectionType; would allow changing the collection in one line editing.
Last remarque : using sf as the namespace is quite confusion IMHO. If someone sees an example alone he would think RichText is part of SFML itself and when he will try to use it he will get errors without understanding why.
And I say it again : great job, this is really useful !