Yes you're right, the classes doesn't really matter..
I started a new project and there SetString worked correctly so it's not SFML problem directly, but as I said everything works until I use that function in old project. I think it must be some weird mix of project settings that causes it. I'll try to play whit it for a while and post if find what causing it, but most probably I'll move files into new project.
Anyway, thanks for your time and help.
Edit: I compared both new and old project settings and setting this fixed it:
Configuration Properties -> C/C++ -> General -> Debug information format - set to: program database for Edit and Continue
Configuration Properties -> C/C++ -> Code Generation -> Runtime Library - set to: Multi-threaded debug DLL (/MDd) [previously was /MTd]