I guess you are right... there is no way in the user interface to clear them...
The routine is implemented but not used anywhere
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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