Hope this helps.
I did try importing jQuery 1.9.1 but it was throwing an error when run in Premiere. And I would assume jQuery must use Socket, or XMLHttpRequest anyway so I'm not sure how that would work if they aren't supported in Premiere. The cross domain stuff is interesting though.
I've actually got my panel successfully running and making requests in InDesign with a few tweaks so I assume Premiere support is just a little less mature.
I am also looking into using sockets (creating a socket server in Premiere) from my HTML5 panel, but am also getting "Socket is not defined" when running it in the context of Premiere.
I am fairly certain jQuery doesn't do sockets, so it would be an XmlHttpRequest if using jQuery.