Technically this is possible. However, that ability was put in more for our testing purposes than because we expect users to have multiple databases.
OmniFocus will always open your primary database on launch (saved in your Library folder by default). If you copy this .ofocus file somewhere else, and double-click that copy or drag it onto OmniFocus' app icon, OmniFocus will open that copy, and then you could replace that data with different data, without your primary database being impacted.
I don't recall the details, but I think there may be weird interactions with perspectives and some other features when you're using multiple databases.
Why do you want multiple databases? Would making a private folder and a work folder to organize your projects accomplish the same goal?