You can connect to MySQL remotely by using host % instead of localhost. If you are security concious then you can use the IP in which you are connecting from in place of localhost.
For Siteworx control panel, expand mysql on the left menu and select database. Find the database in question and then click "Manage Users". Here you can add the user again to the database with host % or you can change existing user to use % instead of localhost.
If you have an unmanaged VPS or dedicated server that has MySQL installed, you simply log into mysql and change or add grant with % or IP.
For example: GRANT USAGE on user_dbname.* to user_dbuser@% identified by 'some-pass';
However, databases on shared hosting are not accessible remotely for security reasons.