There seems to be some confusion as the Copy Database… option is perfect. You can check out the screenshot at this link Screenshot. Are you expecting something different?
Found the bug. We had put up the beta version of SQLyog 3.1 up there which had some changes in Copy Database… option ( probably this was a nasty change ).
Yesterday, we uploaded the new .exe ( i.e. the release version ). Somethings seems to be gone wrong that time 🙂