I got a leak of about 260k by just creating a RenderWindow on Linux. If you tell me how to do a debug build without completly rewriting the makefiles I can maybe fix it for you.
Thats what valgrind says:
==9464== 262,140 bytes in 1 blocks are definitely lost in loss record 119 of 119
==9464== at 0x4C22FAB: malloc (vg_replace_malloc.c:207)
==9464== by 0x409C1E1: (within /usr/lib/libGL.so.169.12)
==9464== by 0x4091037: glXCreateContext (in /usr/lib/libGL.so.169.12)
==9464== by 0x5037738: sf::priv::WindowImplX11::CreateContext(sf::VideoMode const&, XVisualInfo&, sf::WindowSettings&, XVisualInfo, unsigned long) (in /usr/lib/libsfml-window.so.1)
==9464== by 0x5038916: sf::priv::WindowImplX11::WindowImplX11() (in /usr/lib/libsfml-window.so.1)
==9464== by 0x5034D02: sf::priv::WindowImpl::New() (in /usr/lib/libsfml-window.so.1)
==9464== by 0x50320B4: sf::Window::ForceContextInit() (in /usr/lib/libsfml-window.so.1)
==9464== by 0x50323C6: sf::Window::Create(sf::VideoMode, std::string const&, unsigned long, sf::WindowSettings const&) (in /usr/lib/libsfml-window.so.1)
==9464== by 0x528155F: sf::RenderWindow::RenderWindow(sf::VideoMode, std::string const&, unsigned long, sf::WindowSettings const&) (in /usr/lib/libsfml-graphics.so.1)
==9464== by 0x40F64F: ape::std::sfmlRenderer::sfmlRenderer(unsigned, unsigned, char const*, unsigned) (sfmlRenderer.cpp:9)
==9464== by 0x402726: main (main.cpp:21)