SQLyog GUI provides an option to highlight any set of statements in the Editor and 'comment-out' those statements. And to revert back again (un-commenting) too, of course.

The purpose of this is to provide a fast way to 'exclude' one or more statements in an Editor tab from execution with 'execute all'. It simply does so by replacing

this_statement;

with

-- this_statement;

The 'remove comments' functionality only removes this type of comments and only when they start on the first position of the line

This means that all comments like

1)
# comment

2)
some_statement; -- comment here not starting at first position

3)
/* comment */

4)
/* multi-
line
comment */

are not touched. And it never was the intention to do!

If you use SQLyog as your only or primary GUI-client you can reserve the

-- style comments

for use with the SQLyog add/remove comments functionality and use the other available comment-styles for comments that should be permanent in the code.