You experience that when you execute a query it is not written to HISTORY. The query itself executes correctly.
The reason is that your query is too big to be logged to HISTORY. Queries exceeding 4 KB in size are not logged. The reason is that HISTORY is kept in memory. And to avoid memory use 'build up' this limit was introduced with a previous SQLyog version.
The 4 KB limit is not configurable.
Statements can be MB's, GB's in size so it has been necessary to introduce this limit. For instance a single LONGTEXT or LONGBLOB variable can be as big as 4 GB.