I have recently enabled session restore and noticed that on startup SQLyog doesn´t show the program window when it restores a session from the last time. I only see it flashing in the task bar. This doesn´t happen when previously no connection was open.
We had one more similar report, but were never able to reproduce. My own primary system has an identical configuration and it is not a problem here. I think something could be runnng (in the background, possibly) on your system causing this.
Could you try if it is reproducible after a fresh reboot of the system and before any other application was started?