It will only allow you to install one script per directory, and yeah, unfortunately, you'd likely need to remove the existing one entirely in order to install an older version.
If you'd like to install them both side-by-side, you could always install it into a different directory though. So one could be in the "phpmyadmin" sub-dir, and the other cold be in, say, "old_phpmyadmin".
You shouldn't lose any data by removing it though... I would hope not anyway. What's the exact message you're seeing there about losing databases?