I ran into an SSH tunnel connection issue in the more recent builds of 10.2. Turned out to be my fault... I had accidentally added a leading space to my SSH host when cutting and pasting the IP address.
In prior versions of HeidiSQL, the leading space was stripped out programmatically and the correct syntax for PLINK used. (Note: This has been working this way for years.) But more recent versions (at least since 5611 or later), this behavior changed and my leading space in the SSH host field caused the connection to fail.
I have no idea if the "strip leading space in SSH host" in previous versions was a bug (or a feature), but I just wanted to save someone else some time in tracking down a similar issue.