Can BeejiveIM for iPhone block unwanted add requests?
I don't have a Yahoo account to investigate for you, but I know that with AIM (AOL Instant Messenger) accounts you can change the security settings to: 


Allow Anyone
Allow People in my Buddy List
Allow Specific People 
Block Everyone 
Block Specific People


I would assume that logging into Yahoo! directly that you would have similar settings available to you. Then, no matter what client you would use on your iPhone when logged into the Yahoo! account, the settings you already placed into Yahoo! would translate over.