The C++ world, unfortunately, has no clear naming convention. Standard library and boost use lower case + underscore, many other libraries use lower case for first word then upper case, etc.
At the time I started to program, I used Microsoft stuff a lot (Win32, DirectX) which uses the naming convention that you can see in SFML. That's the reason. Now I use a totally different convention, both at work and in my new personal projects -- but I can't change the naming convention of SFML.
The most important thing is to remain consistent, it doesn't really matter if I use lower or upper case, etc.