Hi,
We had removed this option from SQLyog v8.7 as there were issues with that implementation. The latest version does not include that option and is a completely rewritten to include all types of SQL statements.
You may also refer our blog for the same under the version 8.7, here >> http://sqlyogkb.webyog.com/article/348-version-history-2010
Regards,
Sibin