Is this right?
I believe the fundamentals of the question were correct.
is there a one second window, before the first game loop executes, where SFML is recording user events
I don't think so, no.
setFrameLimit(x) instructs SFML (if needed) to call sf::sleep after each call to window.display(), to ensure that each frame is displayed to the user for the appropriate time1⁄x seconds. Therefore, as window.display() is called in sRender() in the example, which is called after sUserInput(), there is no delay and for the first frame no user input is handled.
I am guessing that whilst the thread handling drawing is sleeping, the rest of the process remains awake, so user input can be captured for the full duration of each frame. If I am wrong please correct.