Absolutely, it's always worth seeing what else is out there - if all it does is make you more sure that you've chosen the right place then that in itself is worthwhile. And an informal offer isn't binding so while it may well not fall through, there's no harm in having other options to consider.
I was in a very similar position myself - I had accepted an informal offer from one university when the university I was doing my Masters at invited me for a PhD interview. I went to the interview, told them that I was considering the offer from the other uni (not that I'd accepted it!) and was offered the second PhD as well. It was difficult choosing between them but in the end I chose the first university, but the people at the university where I did my Masters totally understood why I didn't choose them and I have even done some work with them since then so the contact was really useful. And now I'm also certain I made the right choice about where to go.