This is not an issue with SQLyog. This is how the server behaves.
An ALTER TABLE statement changing the charset and/or collation of a table as such ony deines a rul for new clumns adn do not change anything as regards existing columns.
Since your are pasting from the ‘mysql’ command line client you probably also realize this (?).
You have 2 options.
1) Execute an ALTER TABLE statement where charset/collation is changed at the column level. In SQLyo ALTE TABLE dialog there is a checkbox on upper right corner reading “Hide language options”. If you unheck this checkbox, two more columns will become visible in the GUI. You will be able to define charset and collaton at the column level. Please try it and please read in HISTORY tab wat the generated statement looks like.
2) Alternatively you can always use a COLLATE-clause in a select query (refer http://dev.mysql.com/doc/refman/5.0/en/charset-collate.html).
