Let's assume we have a table with at least one float column and with no primary key.
I know it is very bad idea but it's still possible.
In this case, most of the UPDATE operations will fail when you will try to edit data in the table data or result grid. It is because SQLyog will use this float field in the WHERE clause: UPDATE table SET f=0.75 WHERE f=0.333. The bad thing: you will see CHANGED data in the data grid, although table data will remain the same. It's confusing and even dangerous.
Not the suggestion:
I would like to have a warning if a row wasn't updated for some reason
As soon as SQLyog executes an update, it could analyze affected_rows and report a warning (eg. red text in the status bar) if it returns zero, and reset the data to show that it could not be changed.
Additional idea for implementation: if affected_rows is zero – always reset the row and then check whether some values were really resetted (compare data before and after resetting). If yes – display a warning as it is indication that user has changed data in the grid but database did not make any changes. Otherwise user did not edit any data and affected_rows=0 is OK.