I have written this example which showcases that requests are indeed captured from inner frames of your page. You have to be careful, requests that fail won't actually trigger page.on('response') handler but will trigger page.on('requestfailed').

Also make sure to call await page.setRequestInterception(true) before adding any request related handlers to your page!

Here is a working example: (it will only trigger requestFailed due to cross origin restrictions.)

var puppeteer = require('puppeteer')

function simulateRequest() {

    function doXmlHTTPRequest() {
        function reqListener() {
            console.log('xml done.')
            console.log(this.responseText);
        }

        var oReq = new XMLHttpRequest();
        oReq.addEventListener("load", reqListener);
        oReq.open("GET", "https://www.google.com");
        oReq.send();
    }


    setInterval(doXmlHTTPRequest, 2 * 1000)

}

// Easiest way to get an Iframe is by its name.
const findFrame = (frames, name) => {
    return frames.find(f => f.name() === name)
}

const main = async() => {
    const browser = await puppeteer.launch({ headless: false });
    const page = await browser.newPage()

    // have a page with only an iframe.
    const pageContent = '<iframe id="myFrame" name="frameName">'
    await page.setContent(pageContent)

    // important call!
    await page.setRequestInterception(true)

    page.on('response', async(res) => {
        console.log('Page response received..', )
    })

    page.on('requestfailed', () => {
        console.log('requestfailed recieved')
    })

    page.on('request', async(res) => {
        console.log('page request received..', )

        // make sure to continue request.
        res.continue()
    })

    // find the iframe!
    const targetFrame = findFrame(page.frames(), 'frameName')

    // set some test content..
    await targetFrame.setContent('<h1>hello</h1>')


    // add a script to iframe which simulates requests!
    await targetFrame.addScriptTag({

        // execute the function immediatly..
        content: `(${simulateRequest.toString()})()`
    })

}

main()