*.so is a common extension for "shared object" files on unix-like systems. On these systems, it is an executable file.
I don't know how phpdev implemented their software, but it seems likely that they put it there to support the MySQL installation.
As for it being a security risk, you'd have to ask them, I suppose. IMHO, it's probably not as much of a security risk as "Win98" is .... 😉