It's not required if object that I create with new is used to the end. It isn't memory leak. All allocated memory is freed automatically when application is closed.
This is wrong.
The C++ standard isn't required to deallocate the memory upon program shutdown. Although modern operating systems usually do this for memory, this doesn't apply automatically to other resources. Don't forget that
delete invokes destructors of class types, which often contain further clean-up code. Maybe your application allocates other resources (e.g. network connections or anything) that need to be closed correctly.
Anyway,
using new and delete should generally be avoided in end-user code. There are almost no situations where manual memory management is appropriate and worth the trouble it brings. Here, it is completely unnecessary, as you can just allocate the
sf::RenderWindow on the stack:
sf::RenderWindow renderTarget(sf::VideoMode(800, 600, 32), "Trololo", sf::Style::Close);