It is easy to show that every irreducible finite-dimensional real $\mathfrak{sl}_2(\mathbb C)$-representation is a weight module. The operator commonly denoted as $h$ in $\mathfrak{sl}_2$ has an eigenvalue since $\mathbb C$ is algebraically closed and from this one gets those Verma-modules of dimension $d + 1$ with basis $(v_{-d}, v_{-d + 2}, \dots, v_{d - 2}, v_d)$, where $v_\lambda$ is an eigenvector of $h$ with eigenvalue $\lambda$ and the action of the other two generators is defined accordingly.
This argument can not be used for the real case. So does there exist an irreducible finite-dimensional real $\mathfrak{sl}_2(\mathbb R)$-representation that is not a weight module and if not is there an easy proof?