I can't think of much reason to use it over Workbench or Sequel Pro.
Workbench - Massively unstable on linux. (Although I do like the visualizing tools assuming I'm willing to put up with it crashing every hour or so).
It seems like a really bad idea to place a web-based database tool on a public-facing host when technology exists to route MySQL through SSH.
Even shared hosts support SSH these days. If yours doesn't, maybe it's time to find another shared host!
I seem to remember installing it on my own workstation, setting up the ssh tunnel and then pointing PHPMA to localhost.
It's not my favorite tool and I've avoided it due to security concerns but I've set it up for others as described and I recall it worked fine. Like I said though it's been a while and I'm fuzzy on the details.