In both Sql Server and Oracle, permission changes to a user take into effect right away, even when said user is connected at the time you made the change.
In MySql, it is a little different, depending on how the permissions are given. If you use the GRANT statement, then it takes into effect right away. However, if you create user and give it permissions by manipulating the user table in the mysql system database directly, that is, using Sql statements, then you need to issue:
for those changes to be picked up.