I've done some reading since last time. Ceylo, your link was interesting but I think it won't work because NSEvent are not NSNotification (which is supported by the documentation).
I've also found another problem with thread programming :
The NSView class is generally thread-safe, with a few exceptions. You should create, destroy, resize, move, and perform other operations on NSView objects only from the main thread of an application.
It means that only this multithread application structure is supported :
main thread :
create sfml window
launch thread (drawing stuff)
classic event loop without drawing
Once again the doc agree on this :
Threads and Your User Interface
If your application has a graphical user interface, it is recommended that you receive user-related events and initiate interface updates from your application’s main thread. This approach helps avoid synchronization issues associated with handling user events and drawing window content. Some frameworks, such as Cocoa, generally require this behavior, but even for those that do not, keeping this behavior on the main thread has the advantage of simplifying the logic for managing your user interface.
Now the problem is that this behaviour is not standard regarding SFML on Linux and Windows. (Isn't it?) And I don't have any solution. I still can ask on cocoa-dev mailing list for a confirmation of this behaviour but I really doubt the answer would be helpful.
What should I/we do ? Add something in the doc/tutorial in order to advice people who want to produce an app for Mac ?
Right now I'm kind of disappointed. Who would think that a major OS like OS X wouldn't allow us to do that ?
edit : typo