Sky hasn't changed anything with Yahoo.
Sadly emails going missing out of the blue like you does happen with Yahoo, it appears it is moe likely to happen if they were all stored in the Inbox, the only thing you could try and this is a long shot is to see if you can put in a request to restore then with Yahoo via here:
https://help.yahoo.com/kb/SLN2552.html
If they are restored then it would be advisable not to store all your emails in your inbox if this is where they were located, but instead set up seperate folders to keep them in.
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