It isn't clear that it is safe to access a remote database via ssh tunneling at the same time that I am accessing a local database, especially when they use the same port numbers. I know that I have to be very careful when using ssh from a command line so that I don't tunnel the remote database onto the same local port that the local database uses. On unix this isn't such a problem, but on windows, I don't get a warning when this happens. Instead, the last listener tends to win and confusion reigns.
A similar thing could quite easily happen with sqlYog. If it does, then there should definitely be a warning in cases where it might happen. If it doesn't then you have a major feature that should be documented. I have a feeling that it does happen because I had a situation where the wrong database got updated. I can't be sure I didn't screw up so I can't report this as a confirmed bug, but it really seemed like it was due to port mirroring.