I've had that problem too.
When I first set up my yahoo I had something like 100 unread messages to sort through.
At some point it said "load another 25 messages" but it never did.
After a day that message went away.
I have noticed that every once in a while I get a message to tap to load 1 or 2 or 4 new messages, but it's just a ghost.
If you back out of it to your main menu it just goes away.
My guess is that it is "seeing" some delivered mail as undelivered/unread when it has already been pulled into the iPhone, so it gets confused. A short time later, those messages are no longer there so it stops telling you to retrieve them.
In other words, I wouldn't worry about it and hopefully it is something that can go away with the next update.