I have to agree with Laurent: To call a conversion function every time you need a sf::Color is an unnecessary burden resulting from questionable considerations.
The performance "arguments" brought here are typical for premature optimization. Load a single sf::Image, and the runtime and memory usage outweigh by huge factors. If we talked about time-critical code at the inside of an often-called loop and the big optimization opportunities have already been exploited, okay. But saving a few bytes and a few cycles once at initialization (which is hardly noticeable) at the cost of making code user-unfriendly is generally a bad idea.
About the laziness to convert every literal: It's no big deal to write a program that replaces AliceBlue=0xf0f8ff, with sf::Color AliceBlue(0xf0, 0xf8, 0xff);. Automated replacement is far less error-prone than manual one.
And just that you're aware, Relic: By using the static storage class (or no explicit keyword at const variables), the memory gets duplicated for each translation unit. The storage class extern avoids that, but then the definitions have to be moved to an implementation file.