We've sometimes had corruption of the database because of a bug in a single task. We would like to protect against that. One alternative is to put the database in the private space of a database server. Probably at the expense of speed.
Supervisor mode seems like the least severe in terms of invasion of system space.
When correctly architected, this approach also has the added advantage of allowing other storage and retrieval mechanisms to be explorered without requiring application modifications or even rebuilds. As for your question on supervisor mode, the OpenVMS FAQ section MISC15 might be of interest.