So, by asking for "shapes" you actually meant "lines"? I suggest we stick to the technically correct terms "node" and "edge" for the rest of this post to prevent further misunderstandings.
Anyways, it is not possible to connect an edge to another edge in yEd. yEd is first and foremost an editor for graphs in the mathematical sense and in such graphs an edge is by definition a connection/relation between two nodes.
However, it is not necessary to be able to connect one edge to another edge to create a sequence diagram - and nothing in the diagram you linked to suggests otherwise. For a sample sequence diagram created with yEd see Support for Sequence diagrams in yEd.
That said, sequence diagrams are not really one of yEd's strong suits. You probably will have to be creative and use a couple of tricks here and there to make them look good. Moreover, there is no suitable layout algorithm for sequence diagrams in yEd.