The federation between the Yahoo and Windows Live IM clients are handled within their respective clients. I doubt we'll see this federation carry over to mobile clients, with the exception of WLM for Windows Mobile (if then).
On a side note, if your corporation is on BES 4.1+ and has an Live Communications Server/Office Communications Servers (LCS/OCS) deployment with Office Communicator and Public IM Connectivity (PIC) enabled with federation to the IM clouds, then you can chat with contacts on AIM, Yahoo, MSN and internally (Office Communicator) from Enterprise Messenger on the BlackBerry.
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