SFML doesn't provide functionalities to check this, but it can be more or less easily get implemented.
For example you have a boolean variable in a shared scope and when the thread starts you lock it, then set it to true, unlock it, do your thing and at the end lock, unset and unlock it.
Mean while you'll be able to check if the boolean is set or not and thus get the current 'state' (you'll also need to lock it from the other threads, against what many developers might say, booleans are not guaranteed to be atomic).
There are also other ways and maybe with the right design you won't even need them...