You can use Bitvise Tunnelier to setup a tunnel for MySQL that PhpED can then utilise. There certainly used to be a post about it somewhere, because I posted it myself
Just did a quick search and found my post
http://forum.nusphere.com/does-db-client-support-ssh-tunneling-t8214.html
Using PhpED for transferring files with FTP is convenient, but it isn't a full FTP client and I doubt that was ever the intention. I still use a separate full FTP client when I need to see more information, manage permissions, etc. Bitvise Tunnelier includes an SFTP client, although a somewhat basic one. I've found SmartFTP to be very good and does just about everything you might need.