Here is an update on the Yahoo problem.
Regarding this "curl malformed" message that I was getting I contacted my webhost Hostgator, they are quite a big outfit.
They contacted Yahoo and got a "Limit exceeded" warning.
They suggested that I scale down the frequency of the pings, so I set the cron to ping weekly instead of daily, and eventually it went through without errors.
So, this confirms what I thought: they are very cautious about their site not getting brought down again by a DDoS attack, and are limiting (too strictly) the number of pings that can be sent.
I know that none of the other SEs complain about a daily ping, but Yahoo does.
I think it is overkill, but that's the way it is.