Two different color wires under single outlet screw
2 wires under a screw like that is not code compliant. A yellow wire is just like a red, pink, black or blue they can all be hot wires so yes it would be best to pigtail them. If the tab is intact between the 2 screws on that side I would pigtail all 3 together.
If the tab was broken and that was a multi wire branch circuit code would require the neutrals to be pigtailed. So it’s a good idea to do the whites while you’re fixing things.
It really doesn’t matter where the wires go. They could be powering the room lights or another receptacle and until disconnected you may not know