Thank you for this error report.
The open recent document command in the splash screen works for me. Typically, this error message simply indicates that the file is no longer in the folder to which is was saved. Have you renamed or deleted the file? Please note that yEd does not keep track of such file operations.
The recent document command in the splash screen opens the file that is the most current in the "Recent Documents" list of the "File" menu. Please check if the file is still at the location it was saved to (the tooltip of each menu entry shows the full file location), and if so, please let me know if other items of the Recent Documents still work or if they are all broken.