I wouldn't know why this wouldn't work under Plesk 9. It's the same Apache after all.
I just install the phpMyAdmin package from the EPEL repository. That's even easier to set up, and yum keeps it up to date for me.
There is no Plesk-specific config needed. As far as phpMyAdmin is concerned, you're just running a plain MySQL server (and you are, really).
You can install your own phpMyAdmin using a global alias, so you don't need to install it for every domain. Even better: install it on an SSL-enabled domain and let your customers use that copy.
Replacing the phpMyAdmin in Plesk is probably not something you want to do yourself, as that one is heavily patched specifically to work inside Plesk (I believe).
If anyone can write a updated phpmyadmin would be Scott from atomic. I think the patching is simply different configs and file locations rather than a true patch.
Hopefully Scott may see this and comment