This is actually per design.
A query tab comes in 2 'flavors': 1) the 'normal' one 2) the 'special' one (sometimes it was called 'advanced'). In the 'special' one only *execute all* is possible. This is because the 'special one' is used in contexts where executing a single query does no make sense. But the option to *execute current* should probably be disabled here.
We also have the old discussion: http://code.google.com/p/sqlyog/issues/detail?id=280
.. but frankly we did no agree internally what best solution would be. You are welcome to comment.