There's nothing to do to make language switches work, it's all handled by the OS.
I've made some tests, and I found that changing the language works in SFML, but only after you "do" something with the window: move it, resize it, click the icon. And you have to do this everytime you change the language, otherwise it won't be applied.
This is really strange and I have no idea why it behaves like this. It definitely needs further investigation. I'll add an issue to the tracker.
By the way, we're only talking about Windows, right? I haven't tested other OSes and don't even knwo how language switch works on them.