You're right. This error message is unnecessary and risky.
While most hosts deny MySQL connections from anything other than scripts on the local server, some allow remote access. Plus, someone with a site on the server would be able to access your data with the information.
The code can be found at the bottom of admin.php:
$link = mysql_connect($sqlhost,$sqluser,$sqlpass) or die("Could not connect to MySQL, host / user / pass = $sqlhost / $sqluser / $sqlpass<br>MySQL Error: ".mysql_error());
Change it to this, removing the sensitive variables:
$link = mysql_connect($sqlhost,$sqluser,$sqlpass) or die("Could not connect to MySQL<br>MySQL Error: ".mysql_error());
Regards