If Sqlyog is the only program changing the structure of databases there is in principle NEVER any need to 'rebuild tags'. 'rebuild tags' means that SQLyog builds the small database files used for autocomplete.
It is you own choice if you will do so each time a connection is established. The only thing that 'goes wrong' if TAGS are not fully up-to-date is that autocomplete may not display some table names etc. that it should (or oppositely: it may display some that have been deleted since last rebuild)