How do you control a SFML window from a separate thread?

I'm currently working on a game where I wanted to create a loading screen that basically shows the process of loading all the resources. To do this, I decided to create a separate thread that handles the window. I'm aware that there could be more efficient solutions, but I wanted to create a special mouse cursor and that way was the only way that allowed me to do that without having a buggy mouse when the application is loading a big file.

I read up on the threads on the SFML tutorial page and I learned that I have to do window.setActive(false) in the main thread and then window.setActive(true) in the separate thread in order to have access to the window in the separate thread without getting any problems. This works fine, it doesn't throw any errors and it displays the loading screen very nicely. However, I can't move the window around or interact with it in any way. The mouse cursor is covered by the blue ring from the mouse when it's loading, and I can neither close nor move nor resize the window even though I used sf::Style::Default, so it should be possible.

Can anyone help me out here?