Before SQLyog version 5.17 we used a DELIMTER format like
Delimiter | ;
and not only
That was unlike the MySQL command-line client, but the difference was because of the general difference of a command-line tool and a graphical editor. With a graphical editor a linebreak is "parsed away" so you must somehow tell the system that end-of-statement has been reached. You did that with the old delimiter. So the 'mysql' command line client (and other programs from MySQL AB) would not execute SQLYog DELIMITERs and vice-versa.
However from SQLyog 5.17 both formats are supported (and the 'short' one is default). We complete rewrote the parser/tokenizer component of SQLyog to enable this, so this issue should not occur anymore.