I just tested Safari 12.0.3 on macOS 10.14.3 with
https://websocket.org/echo.html and it works for me. In the inspector it has a Sockets folder with the socket, and when I select it, it shows the textual content of each frame.
Edit: This is of course textual frames. I don't know where to find a site that demonstrates binary frames. I do notice that if I right-click the textual frame it has "Log Frame Text" as an option; maybe with a binary frame you can ask it to log the binary frame contents?
Edit 2: Ok I found a binary websocket test and unfortunately there is no option to log the binary info. That sucks. I recommend filing a bug report at bugreport.apple.com requesting better tooling around this. It's also worth checking the Safari Technical Preview to see if they've already added any better tooling.