Unfortunately there's no generic API for observing or intercepting all bus communication from the client side. We do have client-side RPC call interceptors, though: Remote Procedure Calls (RPC) - Errai - Project Documentation Editor
On the server side, of course, you could use a Servlet Filter or a Servlet Request Listener to observe traffic to and from clients... as long as you're not using WebSockets.
If you're interested in putting together a generic client-side API for attaching a message listener/interceptor to the ClientMessageBus, I'm sure that's something others in the community would benefit from as well. We do love pull requests.