IIRC, the Web Sockets implementation was something the WCF team was already experimenting with for their own purposes and originally had not much to do with IE9 or the IE team. Since it was implemented in WCF, obviously it would require a CLR (i.e. Silverlight).

Putting it on the HTML5 Labs site is kind of goofy, and the whole HTML5 Labs thing is sort of a dubious PR exercise to begin with, but I guess it does at least show they're experimenting with the Web Sockets protocol.