Common mistakes

A likely mistake that might be made when using this system is the absence of registration of newly added states. If you have built a state and it simply draws a black screen when you switch to it, chances are it was never registered in the constructor of StateManager.

The window not responding to the F5 key being pressed or the close button being hit is a sign of the global callbacks not being set up right. In order to make sure a callback is invoked no matter which state you're in, it must be set up with the state type of 0, like so:

m_eventManager->AddCallback(StateType(0),"Fullscreen_toggle",
    &Window::ToggleFullscreen,this);
m_eventManager->AddCallback(StateType(0),"Window_close",
    &Window::Close,this);

Finally, remember that when the mouse position is retrieved in the main menu state, the coordinates stored inside the event are automatically relative to the window. Obtaining coordinates through sf::Mouse::GetPosition is not going to do the same, unless...