I see SFML MIDI file support as a major problem.
As MIDI doesn't contain any sound information, what sounds should SFML play? The OS's default wavetable? What if it doesn't have one? If it does, what standard does it adhere to? GM? Or maybe GS? What happens if the user has non-standard settings?
Even if Laurent manages to find a solution, it still leaves the developer with the problem that the end-user experience is entirely dependent on the system setup, and can't even be approximated.
I my opinion, if SFML was to support MIDI, it should do so on a much deeper level. A way that would allow developers to use the MIDI signals any way they like, for playing samples or otherwise.
I believe this kind of midi support would be a major selling point for SFML, where the other kind would mostly just work to confuse people.
For simpler music support, I too think some tracker format support would work a lot better, because those actually contain the audio data, along with a set of MIDI-like commands. At least that is how I understand tracker files. I haven't worked with them that much, though.
As for compressed audio formats, FLAC is great, FLAC is loss-less, but you really should try working with OGG as well. While it isn't loss-less, it does sound a whole lot better than MP3, and is even slightly smaller in size. For a good compressor, search the net for "OggDropXPD".