From a quick read of the manpage, I don't think it's possible either, unless you mess with EXEC or create multiple listeners to a single address.
Anyway, the Linux kernel does have a builtin loadbalancer in the form of shared sockets that you can socat outside of the machine. But I wouldn't call that a socat loadbalancer.
It’s a Saturday and all, so yeah, I’m challenging you (for fun, not because I don’t think it’s possible).