When pressing “Apply” on the “Manage permissions” dialog, SQLyog updates the permissions all right, then closes the dialog. As I have to add several users at a time, it's quite inconvenient for me to open the dialog each time.
SQLyog could ask whether I want to change other users' permissions, too, similarly to the create table option. I would welcome another feature as well: granting a user exactly the same right as an other user.