yEd imports the master section of Visio files (a.k.a. 'stencils' in Visio's GUI). The files I checked contain no stencils but only shape instances on the main page. yEd does not import these.
I suggest to use the SVG version of the files instead. Since the Visio import of yEd has several limitations, it's likely that you get better quality with SVG icons in any case.