I noticed the same thing. I think SQLyog strips off the carriage returns, thus MySQL thinks that the statement is all one big long line (instead of the several lines you typed in). Looking at the history pane gives you some idea… When you use an inline comment, MySQL ignores everything after it until the carriage return.
You can only use the C-style comments, /* … */. These will work for in-line comments, and allow you comment out sections in the middle of your statements.
HTH!