Hi Pathik and Mac,
That page is selling two different boards, but only shows the picture for the 28TSSOP board (SH32). I can't seem to find a picture of the 20PDIP board (SH8).
But looking at the manual here:
http://cache.freescale.com/files/microcontrollers/doc/user_guide/DEMO9S08SH8UG.pdf?fpsp=1
I suspect it does have a socket. Although it does not state either way (lame), my suspicion is based on the drawing on page 5. First, the silkscreen looks like a socket, and second, the reference designator is "SU1" whereas an unsocketed part would normally be "U1".
In any case, you could always replace the chip with a socket. I would go for a ZIF socket if you intend to use it for programming.
I could be wrong, I often am, but I never admit it.