News again. I've done tests with older releases of sfeMovie, in order to check when the problem appeared. And none of the binaries up to last december worked. So I tried to replace SFML binaries and... surprise, even the latest binaries work fine with SFML 2.1, but not 2.2.
What is weird is that SFML 2.1 binaries are for VS2012 builds, while I use VS2013. So it should not work. And SFML 2.2 binaries, both VS2012 and VS2013 do not work. While SFML 2.2 for VS2013 should be the perfect match.
So for the short term, using SFML 2.1 binaries for VS2012 should do it. As for the fix, I still need to check whether this is an issue with SFML 2.2 or if it a problem with the SFML binaries I have been using till now to provide the downloads.