So why have Dispose in the first place?
To have the option to explicitely release resources, if one really needs to. But it's just an option.
Like you said, it's not an error, but a warning
A warning means you do something bad. Not releasing resources is not bad in my opinion.
GC is not meant to manage resources, but memory.
The GC manages objects, then it's up to these objects to deallocate any unmanaged resources they hold.
If your SFML objects contain unmanaged resources like OS handles etc, not disposing them will cause handle leaks
All objects will be disposed, whether it is by the user, or by the GC. The only difference is that the GC may do it later.
So where are the memory leaks?
Seriously, what's the problem here? If you need to manually dispose objects because you handle too many of them, do it. If you don't, let the GC do its job. Everything's fine in both cases.