Some dev environments aren't local, and sometimes this is faster, especially if you have to document the changes for future updates that don't include your fancy tools.
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.