It still exists, see
here.
![Wink ;)](https://www.sfml-dev.org/forums/Smileys/default/wink.gif)
The thing is that texture.loadFromFile() actually is simply a shorthand for loading it into an image and then copying it to a texture.
So what you have to do is load it into a sf::Image set the wanted transparent color and retrieve the texture.
Another option would be to mask the background color in a image editor and set it to transparent.
![Wink ;)](https://www.sfml-dev.org/forums/Smileys/default/wink.gif)