Hello,
It seems this auth requires to pass the token when opening the http request to get a new session, so you should use the event OnHTTPRequest of the Socket.io API, find below how to pass a bearer token example, just replace "your-token" by the correct value
procedure OnHTTPRequest(Sender: TObject; aRequest: TsgcWSSocketIOHTTPRequest);
begin
aRequest.Headers.Add('Authorization: Token your-token');
end;
If doesn't work, and you can provide the server where you must connect please provide more details and I'll check in my machine.
Kind Regards,
Sergio