I have these mysql lines in DB Client SQL:

set @a := 0;
select (@a := @a+1) as NrCrt, data, timp, id_em, id_ep from orar;

Why I cannot run them together?

DB client just passes the statements to server then server decides what to do with them.

The same does heidisql, mysql workbench... In fact, DB CLient from Netbeans and so on. But they pass well and the result is a good one.
That means that DB CLient from PhpED is an unfinished product.

Can you do it work?

Something like that:

some servers like Sybase or MSSQL can support batches. In this case you have write them as one statement, like below

declare @ent_type_bit tinyint
select @ent_type_bit = 32
select ent, pack_type = case when length > 0 and length != full_length then 2 else 0 end, 0
from split
where sat = @sat AND sat_key = @sat_key AND split_id = @chunk and (ent_type & 32) = @ent_type_bit
at isolation 0

if @@rowcount = 0 and @ent_type_bit != 0
select ent, pack_type = case when length > 0 AND length != full_length then 2 else 0 end, 0
from split
where sat = @sat and sat_key = @sat_key and split_id = @chunk and (ent_type & 32) = 0

and this all works as a batch returning multiple rowsets. Note that neither of the statements have any delimiters like semicolon.

Other servers do not support batches. They won't accept your multiple statements and can't return multiple rowsets, so there is a help from the IDE required.
If you write multiple statements delimited with semicolon, like in your case, PhpED will send them one by one expecting no rowsets in return. This way you can run for example mysql dumps.
I don't see the point why you'd need to run inserts and selects at the same time. Why don't you run inserts then selects?

OK! I'll use other software for mysql.