In Bing ads, you can't pick to target only Bing or only Yahoo, you have to target both at once. Because of this, knowing how Yahoo performs vs. Bing isn't really actionable. Someone has set this up in Google Analytics by setting up a separate profile and adding a filter (see here) if you're really interested to see the breakdown.
When you click one of your ads from Yahoo, are you seeing the utm parameters on the resulting URL? If so, then there shouldn't be a Yahoo-specific problem. If you're using something like utm_source=Bing on the destination URL, then all of your Bing/Yahoo paid search will be bucketed under Bing in your GA reporting.