Rock Band World won't load for me. Is it because I'm using Safari?

Short answer: Yes.

Due to Safari's extensive browser settings, Facebook Apps are not compatible with that browser -- this is not limited to Rock Band World. There may be a way in Safari's settings to disable all of the privacy settings and such, but the easiest solution is simply to use a different browser (such as Firefox or Chrome) to view Facebook.

Please do not use Internet Explorer as your second option, as that browser too may have issues for Facebook Apps.