I guess you are right... there is no way in the user interface to clear them...
The routine is implemented but not used anywhere
In the next release you will be able to clear the host address by clicking 'Clear search history' in 'Options - User Interface - General'
To clear the history by hand open the file phexGuiPrefs.properties (see
http://www.phex.org/wiki/index.php/Configuration_Files) and delete all lines starting with:
SearchTab.BrowseHostHistory
Gregor