Interesting question, let's just try it out in a practical test. I connected to my device (running Android 5.1.1 Lollipop) through ADB over Wi-Fi using adb connect 10.0.0.10 and ran some tests. What you are seeing is the output of the packets that I captured using Wireshark.
Starting a shell in ADB by sending adb shell:
2290
127.822126 192.168.0.41
10.0.0.10
TCP 85 14804 → 5555 [PSH, ACK] Seq=60 Ack=106 Win=65536 Len=31
0000
90 ef 68 cc f4 48 54 04 a6 a1 a4 3f 08 00 45 00 ..h..HT....?..E.
0010
00 47 63 e1 40 00 80 06 00 00 c0 a8 00 29 0a 00 .Gc.@........)..
0020
00 0a 39 d4 15 b3 57 0e 4a de 41 6b 58 7c 50 18 ..9...W.J.AkX|P.
0030
01 00 cb 14 00 00 4f 50 45 4e 06 00 00 00 00 00 ......OPEN......
0040
00 00 07 00 00 00 52 02 00 00 b0 af ba b1 73 68 ......R.......sh
0050
65 6c 6c 3a 00
ell:.
Response received:
2295
127.928185 10.0.0.10
192.168.0.41
TCP 94 5555 → 14804 [PSH, ACK] Seq=130 Ack=91 Win=64256 Len=40
0000
54 04 a6 a1 a4 3f 90 ef 68 cc f4 48 08 00 45 00 T....?..h..H..E.
0010
00 50 2a 73 40 00 3f 06 46 5a 0a 00 00 0a c0 a8 .P*s@.?.FZ......
0020
00 29 15 b3 39 d4 41 6b 58 94 57 0e 4a fd 50 18 .)..9.AkX.W.J.P.
0030
03 ec 74 0a 00 00 57 52 54 45 01 00 00 00 06 00 ..t...WRTE......
0040
00 00 10 00 00 00 81 04 00 00 a8 ad ab ba 72 6f ..............ro
0050
6f 74 40 72 6b 33 31 38 38 3a 2f 20 23 20
ot@rk3188:/ #
Writing some text to a file:
816 61.121728
10.0.0.10
192.168.0.41
TCP 190 5555 → 14804 [PSH, ACK] Seq=122 Ack=102 Win=1004 Len=136
0000
54 04 a6 a1 a4 3f 90 ef 68 cc f4 48 08 00 45 00 T....?..h..H..E.
0010
00 b0 2e 7f 40 00 3f 06 41 ee 0a 00 00 0a c0 a8 ....@.?.A.......
0020
00 29 15 b3 39 d4 41 6b 9e 27 57 0e 70 8a 50 18 .)..9.Ak.'W.p.P.
0030
03 ec 69 a3 00 00 57 52 54 45 01 00 00 00 06 00 ..i...WRTE......
0040
00 00 70 00 00 00 04 14 00 00 a8 ad ab ba 0d 72 ..p............r
0050
6f 6f 74 40 72 6b 33 31 38 38 3a 2f 73 64 63 61 oot@rk3188:/sdca
0060
72 64 20 23 20 65 63 68 6f 20 22 54 65 73 74 31 rd # echo "Test1
0070
32 33 22 20 3e 20 74 65 73 74 2e 74 78 74 20 20 23" > test.txt
0080
20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20
0090
20 20 20 20 20 20 20 20 20 20 20 20 20 20 08 08
..
00a0
08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 ................
00b0
08 08 08 08 08 08 08 08 08 08 08 08 08 08
..............
Sending the command for reading out that same file:
1130
71.683380
10.0.0.10
192.168.0.41
TCP 204 5555 → 14804 [PSH, ACK] Seq=2782 Ack=1546 Win=1004 Len=150
0000
54 04 a6 a1 a4 3f 90 ef 68 cc f4 48 08 00 45 00 T....?..h..H..E.
0010
00 be 2e f2 40 00 3f 06 41 6d 0a 00 00 0a c0 a8 ....@.?.Am......
0020
00 29 15 b3 39 d4 41 6b a8 8b 57 0e 76 2e 50 18 .)..9.Ak..W.v.P.
0030
03 ec 35 14 00 00 57 52 54 45 01 00 00 00 06 00 ..5...WRTE......
0040
00 00 7e 00 00 00 cd 12 00 00 a8 ad ab ba 0d 72 ..~............r
0050
6f 6f 74 40 72 6b 33 31 38 38 3a 2f 73 64 63 61 oot@rk3188:/sdca
0060
72 64 20 23 20 63 61 74 20 74 65 73 74 2e 74 78 rd # cat test.tx
0070
74 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 t
0080
20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20
0090
20 20 20 20 20 20 20 20 20 20 20 20 20 20 08 08
..
00a0
08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 ................
00b0
08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 ................
00c0
08 08 08 08 08 08 08 08 08 08 08 20
...........
Received response containing the file's contents (which was written to the console):
1144
72.085985
10.0.0.10
192.168.0.41
TCP 109 5555 → 14804 [PSH, ACK] Seq=2983 Ack=1619 Win=1004 Len=55
0000
54 04 a6 a1 a4 3f 90 ef 68 cc f4 48 08 00 45 00 T....?..h..H..E.
0010
00 5f 2e f7 40 00 3f 06 41 c7 0a 00 00 0a c0 a8 ._..@.?.A.......
0020
00 29 15 b3 39 d4 41 6b a9 54 57 0e 76 77 50 18 .)..9.Ak.TW.vwP.
0030
03 ec b8 6b 00 00 57 52 54 45 01 00 00 00 06 00 ...k..WRTE......
0040
00 00 1f 00 00 00 3f 09 00 00 a8 ad ab ba 54 65 ......?.......Te
0050
73 74 31 32 33 0d 0a 72 6f 6f 74 40 72 6b 33 31 st123..root@rk31
0060
38 38 3a 2f 73 64 63 61 72 64 20 23 20
88:/sdcard #
Retrieving the file by sending adb pull /sdcard/test.txt:
3711
236.234344 192.168.0.41
10.0.0.10
TCP 102 14804 → 5555 [PSH, ACK] Seq=2776 Ack=4435 Win=255 Len=48
0000
90 ef 68 cc f4 48 54 04 a6 a1 a4 3f 08 00 45 00 ..h..HT....?..E.
0010
00 58 6b 17 40 00 80 06 00 00 c0 a8 00 29 0a 00 .Xk.@........)..
0020
00 0a 39 d4 15 b3 57 0e 7a fc 41 6b af 00 50 18 ..9...W.z.Ak..P.
0030
00 ff cb 25 00 00 57 52 54 45 0a 00 00 00 02 00 ...%..WRTE......
0040
00 00 18 00 00 00 5d 07 00 00 a8 ad ab ba 52 45 ......].......RE
0050
43 56 10 00 00 00 2f 73 64 63 61 72 64 2f 74 65 CV..../sdcard/te
0060
73 74 2e 74 78 74
st.txt
Received response containing the file's contents:
3717
236.242351 10.0.0.10
192.168.0.41
TCP 94 5555 → 14804 [PSH, ACK] Seq=4491 Ack=2848 Win=1004 Len=40
0000
54 04 a6 a1 a4 3f 90 ef 68 cc f4 48 08 00 45 00 T....?..h..H..E.
0010
00 50 2f e9 40 00 3f 06 40 e4 0a 00 00 0a c0 a8 .P/.@.?.@.......
0020
00 29 15 b3 39 d4 41 6b af 38 57 0e 7b 44 50 18 .)..9.Ak.8W.{
DP.
0030
03 ec 8d b1 00 00 57 52 54 45 02 00 00 00 0a 00 ......WRTE......
0040
00 00 10 00 00 00 66 03 00 00 a8 ad ab ba 54 65 ......f.......Te
0050
73 74 31 32 33 0a 44 4f 4e 45 00 00 00 00
st123.DONE....
Conclusion: ADB over Wi-Fi is not encrypted (at least not by default).