I had a similar experience with Yahoo support, and I'm really sad about this.. Yahoo support was very nice, I didn't have to pay for the 2 hours I was on the phone with them except for my wasted time(in spite of the greeting telling me to have my credit card ready).
Yahoo 1st level support consulted with three 2nd tier support people and gave me the same answer you got....I had to contact the sender and tell their IT dept to enable DKIM, which makes no sense to me. Basically they tell you that it's fine on their end(must be my problem)
BTW, I just access email directly with a browser....not using a 3rd party client)
Yesterday and today, I continue to NOT receive some of my email(including bcc copies of emails I sent from my gmail account notifying people that I'm switching to gmail(I bcc'd my cox account....2 notifications went to spam.....2 went nowhere.,)
Nobody cares folks! If we want email reliability, we have to switch to something else like gmail unless someone thinks that Yahoo will sort out this problem.