The SDK manual is being general in the way it refers to things, and is not specific to the Parallella board. As well as Parallella users it is also aimed at other manufacturers who put an Epiphany chip into a board / product. I think host is being used with two different meanings
1) The processor which has a direct connection to the Epiphany chip
2) The system on which software is (cross-)compiled for use on the Epiphany or the processor in 1).
For the Parallella board 1) is the ARM processors in the FPGA chip. I believe another company has put Epiphany chip(s) on a card to go into a PC so in that situation the PC would be the host.
Where the e-HAL library is mentioned I believe meaning 1 is meant.
You can use your PC in meaning 2) to compile software for the Parallella. e-gcc compiles for the Epiphany, a-gcc for the ARM.
If you want to write software that runs on the PC that talks to the Parallella I'd suggest using Ethernet to communicate with the ARM and run a program on the ARM that talks to the Epiphany.
Tim