I don't think it's a matter of complexity; yahoo mail messages, at least on a Mac, can't be downloaded and handled within Mail.app, so using a yahoo account necessarily means webmail.
Since webmail is accessed via browser, the normal browser behaviors apply: dragging an image from a web page always moves just the image, in much the same way that dragging a filename from a web page creates a text clipping, and dragging a URL creates a .webloc file, even though clicking these objects may cause files to be downloaded or web pages to be loaded.
