I may be wrong, but I think this scene and the fact he later on says to Kadaj "I'm not crying" during the phone scene after the Tifa fight are somehow linked, the whole point just being humor.
I think in the first scene, Yazoo asks Kadaj if he thinks Jenova is with Cloud, and Kadaj answers "Dou ka na ..." which has a meaning close to "I wonder ...". So at this point, they have no idea of Jenova's whereabouts and aren't even sure Cloud will be able to tell them about her.
To me, Loz cries just because he's a bit childish and I understand it being just something the scenarists came up with to make a contrast with his tough look, thus giving the whole thing quite a humoristic feeling.

Quote Originally Posted by ~SapphireStar~
Can I just move onto another scene quickly please?
Yeah, I guess it's okay to deal with different scenes at once.
I'm still waiting for some more opinions about Kadaj crying though