Right after I made the change, I noticed a problem with the render texture. In order to use the system clipboard on windows, I need the window handle. Currently the system clipboard simply doesn't get used when you pass a RenderTarget instead of a RenderWindow. So I can't get rid of the setWindow function, unless I would add a new setWindowHandle function and force people to call it just to get the system clipboard working on windows.
I hope that sfml will at some point add a clipboard, so that I can remove that code and make the change you suggest.