I mentioned this way back with the release of SQLyog 3.5
Comments with the pound sign will no longer work because it wraps everything onto one line before parsing it as of version 3.5. Before that, it parsed each line with carriage return separately. So now the only way to reliably use comments is by enclosing a comment with /* */ type indicators.
Very, VERY annoying for someone who uses comments frequently and would like to comment out a very long query by simply putting a pound sign in front. I don't know why it hasn't been corrected, and IMHO there is no valid reason to say that this change is “by design”.
PLEASE, PLEASE fix this so I can stop using version 3.11