What exactly is the advantage of 11 pin MHL connector in Samsung Galaxy S3
USB OTG stands for USB On-The-Go. This allows your phone to use USB devices (e.g. mice, keyboards, external USB drives) through a MicroUSB to USB adapter.

The MHL adapter allows your device to connect via HDMI to a TV or monitor. The statement that it can power the device just means that it can both charge/power the phone and allow HDMI output via the MHL adapter.  To get that power, though, it requires your power cable to be connected, as HDMI does not provide power. Not all MHL adapters can do this.