Yep, that’s the current behavior of Chrome but I wouldn’t expect it to continue to be the policy in the future. In firefox 4 (if you enable WebSockets in about:config) you will get a warning about the certificate. To approve the certificate you may also have to enter the WebSockets URL in the browser (substitute wss with https) and approve it there first (since the warning from the WebSockets connection about the self-signed cert may not give you the opportunity to approve it).
I would expect all browsers to converge on the correct behavior which is to throw up a warning dialog that allows the self-signed certificate to be approved.