Kostya,
You might have known this for long time already, but I've just discovered this awkward feature of Yahoo Mail:
When a user of Yahoo Mail responds to a message using the web interface, there are no headers that reference the original message (such as "References:" "In-Reply-To:"), so that such a reply is not (and cannot be) linked into a conversation thread.
I understand you cannot do much about it, so, it is "FYI", in case someone complains about conversation not properly linked together.