I also find it interesting that a chrooted user can successfully use the mysql command even if it doesn't connect.
The Plesk standard "bin" folder does not include the mysql binary. I would treat that as a security risk if you allow your users to use the mysql command line client - after all you don't really want them trying to access the psa database for instance do you? Just my thoughts...
In saying that, if you know your users intimately, eg you're all part of the same company, then it is less of a risk but in a web hosting environment i'd say it's a big no no.