PMSF is a serine protease inhibitor . If you only use PMSF then only serine proteases could be efficiently inhibited whereas the cocktail ensures the inhibition of several protease families.
Usually you will have little idea which proteases are present and so a PI cocktail is the safest option. But PMSF/EDTA as mentioned above is a reasonable and probably less expensive alternative. Of course, whichever inhibitors you use, make sure all buffers and glassware are ice cold.