It's just how Visual Studio handles running the files. They use the project directory as the working directory, but the actual binaries have to sit in the debug or release sub folders.
For testing, it should be sufficient to copy the libraries there. For releases just ensure they're in the same folder as the executable.
As an alternative, you could try building SFML as static libraries. That way linking will take a bit longer, the resulting executable will be bigger, but you won't need the dll files at all.