We already have a similar requst in our issuetracker here: https://code.google.com/p/sqlyog/issues/detail?id=423.
There are no actual plans to implement tis. But there is one change since this was recorded: If you in the connection manager type a specific letter the list of connections will scroll down to the first connection name starting with that letter. So a workaround like this is possible: name your most important connections starting with “1_” and continue classifying the connections like that (“1_”, “2_” … “9_”)