Please check the 'processlist feature' of MONyog. I doubt we will enhance this in SQLyog and it may even be removed one day. SQLyog is for data handling, MONyog is for monitoring.
But we have requests for processlist already – see
http://code.google.com/p/sqlyog/issues/list?can=2&q=processlist&colspec=ID+Type+Status+Priority+Milestone+Owner+Summary&cells=tiles