The Yahoo instructions are a little missleading on this page: https://help.yahoo.com/kb/delete-emails-yahoo-mail-sln28054.html
They say:
1. Select 1 or more messages by checking the boxes next to the email.
2. Alternatively, click the Select All icon Select all image in mail at the top to select all displayed messages.
3. Click the Delete icon Image of the Delete icon. at the top of the page.
4. Click Ok if prompted.

2 suggests this is an either/or option, but you HAVE to select one message for the menu that provides "All" to appear. Otherwise, the only ALL to select is the one that means a folder that contains all of the messages from every folder.

Just sayin' :-)
Thanks