Feature/update tutorial about threads

[frayien]

Related to https://github.com/SFML/SFML-Website/issues/127. As discussed in https://github.com/SFML/SFML/issues/2892 and on Discord,

• Add comments about thread safety in relevant part of the tutorials and in the FAQ.
• Update comment about not needing to use sf::RenderWindow#setActive for coherency with previously modifier example.
• Fixing a link in the French tutorial redirected to English version.

[frayien]

Commits are not squashed, I assume it is done at PR acceptation ? (commit names are not the best lol)

[frayien]

Changed "instances of SFML's classes" to "SFML objects"