Yes. That's right.
If that 'Create Bulk Insert statements' checkbox is OFF, SQLyog will create a dump with line feeds.
I tested phpMyAdmin.
It will make a bulk dump with line feeds.
It's like this:
INSERT INTO `languages` VALUES (1, 'English', 'en', 'icon.gif', 'english', 1),[line feeds]
(2, 'Deutsch', 'de', 'icon.gif', 'german', 2),[line feeds]
(3, 'Espanol', 'es', 'icon.gif', 'espanol', 3),[line feeds]
(4, 'Japanese', 'ja', 'icon.gif', 'japanese', 4);[line feeds]