It is recommended that you keep all installed software on your websites (eg WordPress, phpMyAdmin, MediaWiki, phpBB etc) up-to-date.
New versions can bring new features and bug fixes, but most importantly they often bring security updates as security issues are discovered in these pieces of software. If you don't update you could be leaving a site exposed to a future break-in.
WordPress and phpMyAdmin in particular are frequent targets of attacks because of their popularity... staying up-to-date is the best way to mitigate these attacks. The downside is that sometimes these updates can cause incompatibilities with custom coding work you have done on a website, or sometimes plugins stop working because they're not yet compatible with the new version of the script you're using so it's worth checking your site over after installing these updates in order to ensure that everything is still working as you intended.
On very rare occasions automatic upgrades can fail, so we strongly recommend that you backup your site and any associated databases before attempting an update. That way, if anything were to go wrong with the update procedure, you could just restore from your backup and try the update again.