An announcement was made on the 1st of December 2012, in which Yahoo made it very clear that Messenger will no longer support Windows Live Messenger contacts.
Microsoft buddies will still appear on your Messenger contact list, but they will be greyed out, and if you try to send instant messages to them, the messages will not be delivered.
This feature will be sacked on December 14th along with others such as: Yahoo! Messenger Public Chat Rooms and Yahoo! Messenger Pingbox.
Also, Yahoo announced that Yahoo! Voice Phone In and Phone Out feature will be disabled in January 2013.