As far as I can understand this is an issue with MySQL (and the way you use it) and not with SQLyog. You are using LOAD Data and this statement is executed on the server. It would be the same if you executedteh same LOAD DATA statement with any client.
How is the column you import to defined? Execute “SHOW CREATE TABLE tablename;” and se. iIt should not by chance be something like an INT(5) using ZEROFILL option?
(refer MyQL documentaton https://dev.mysql.com/doc/refman/5.5/en/numeric-type-attributes.html: ” When used in conjunction with the optional (nonstandard) attribute ZEROFILL, the default padding of spaces is replaced with zeros. For example, for a column declared as INT(4) ZEROFILL, a value of 5 is retrieved as 0005.”