If it is configured to import the Yahoo web mail (http) as a regular pop3 email then I would say yes. The key would be checking the account settings and see if the server settings indicate that it is pop3.
However, if it is the same as OE being able to download hotmail, it is slightly different to regular pop3 email, probably not directly. I can't comment on if that was scanned by the Internet Mail provider.
I basically only use my hotmail account as a dumping ground, I check it with Mail Washer Pro and delete virtually everything.
Even if the incoming Ypops isn't scanned by Internet Mail, Standard Shield could catch it when it is on the HDD (inbox, etc.) or if you save any attachment prior to opening it Standard Shield should check it, ensure that standard shield is on high and scan all created/modified files.