According to developer.yahoo.com/mail/ and IMAP responses:
* OK [CAPABILITY IMAP4rev1 ID MOVE NAMESPACE X-ID-ACLID UIDPLUS LITERAL+ CHILDREN XAPPLEPUSHSERVIC
I have found another way to create an app with the Mail API permissions enabled. I noticed if you include an 'api' parameter in the URL you can specify which scopes you want to include regardless of whether they are checked at the bottom. I noticed if you provided 'api=mail' in the URL it defaults to include Mail permissions. So to create a new app with Mail permissions use this URL:
https://developer.yahoo.com/apps/create/?api=mail