Thanks for report.
PhpMyAdmin works with sessions, which is not linked with WordPress. To exit from PhpMyAdmin, there you have to explicitly click “Log Out” button which is on left top side. Even if you won’t logout manually, the session expires in 1 hour by default anyway.
When pushing this plugin, we have also considered that logging out from WordPress could also trigger log-out from PhpMyAdmin session, but, as PMA is strictly recommended for development purposes, people might use it to migrate/import databases/users etc, and it’s important to have access to PMA during that process (while in WP you might not be logged in up to 1 hour).
But I will give it a second thought and might push an update to plugin, which might optionally trigger PMA logout during wordpress logout.