Does iOS SDK provide a way to let iOS app talk to app running in OSX/Windows via usb cable connection? Or, socket is the only option?
Communication via USB cable is possible but everything is under strict MFi NDA.
One link that might interest you:
Microchip: 3-step Approach to Develop iPod®, iPhone® and iPad® Accessories
Some more information on Apple MFi program
There are no fees to enter the program but you will have to fill out some 'paperwork'.