I'm almost fresh to the game development and I have one question about libraries.
If I choose one library, such as SFML, to develop the menu of my game, is it possible to merge with, for example, Direct X to handle the graphics(load maps and etc)?
There are lots of libraries you can use together. However, SFML uses OpenGL. You can't run OpenGL and DirectX at the same time.
Most libraries that utilize the same core libraries will be compatible with each other. You may find some difficulties integrating them. For example 2D libraries along with 3D libraries may have different requirements for setting up your view matrices. For the most part, if both libraries use the same rendering tech, work with the same number of dimensions and do different things, they're likely compatible.
Learn more about what these core libraries do as well. DirectX wouldn't be used for loading maps for example. Get into some basic tutorials and learn what these things do. It should clear up a lot of the simple questions like this.