Hey Julien! So long as you're never storing anything sensitive in your local MySQL database, I don't think it's a problem to leave the password unchanged. And, if you change the root password in MySQL, you'll need to change your phpMyAdmin config, too. So that's another argument against.
That being said, what you're doing wrong is not using the correct current password! According to Google searches (and I thought I said this in the book), the default root user password should be "root".