If your iOS is out of date you will have to use the manual setup instead of the Yahoo Mail information that's included in the Add Account -> Yahoo Mail
Delete the current Yahoo Mail account from your phone
Then Add a new account, but instead of selecting Yahoo Mail, go to the bottom of the screen and tap Other
In the Other setup screen tap Add Mail Account, type in your information, and on the next screen you will be prompted to type in the correct incoming mail server host name along with the other information detailed above.
Please let me know if manually adding Yahoo as an "Other" account instead of choosing the built in Yahoo Mail configuration fixes the problem.
Also, out of curiosity, which iPhone version do you have, and are the iOS updates up to date?