Unfortunately, yEd has no such feature. As work-around, I propose to export each intermediate step to an image or graphics format and use another application for the presentation.
It might also be possible to mimic this behavior with the Undo action: start with the final diagram and iteratively delete all elements that are not part of the previous step. Finally, you can 'play' the presentation with the undo command. I suppose, this solution is rather cumbersome.