Mostly just answering to further my own understanding of how this works. From the websocket.org site:
The tunnel is established by issuing an HTTP CONNECT statement to the proxy server, which requests for the proxy server to open a TCP/IP connection to a specific host and port. Once the tunnel is set up, communication can flow unimpeded through the proxy. Since HTTP/S works in a similar fashion, secure WebSockets over SSL can leverage the same HTTP CONNECT technique.
So, if this is what you're asking, it appears that just like with http/https, it's up to the developer to implement SSL encryption, which makes sense.
Sagar Ganatra also has a blog entry on the basics of Websocket Authentication with CF.