Exactly. WITHOUT selecting delete. Gone from the iPhone (and not in the Trash folder) and gone from the server - no trace of it remains. I have had the phone for three weeks and it has happened at least five times (that I know of). I had a family member claim to have sent me an email that I never saw, so I am can only assume it was the victim of this bug as well. I have since switched to POP to access my Yahoo account - hopefully this is an issue with the new Yahoo IMAP service, and I will not see it with POP access. If I do, then this would point back to the iPhone.
I logged a case with Apple and spoke with them on several occasions. They DO acknowledge that this is a real issue and others are also experiencing it (I pointed them to this discussion and several others, so it was hard for them to deny), but they ultimately came back pointing the finger at Yahoo's IMAP implementation. I have logged a case with Yahoo, but since POP is an option and I have used POP with Outlook to access my Yahoo account for years with no issues, I am choosing the path of least resistance until this is resolved. Even though I do not use this account for business, I still do not want to lose emails.
I would suggest that you contact Yahoo as well - let them know that this is an issue that they need to address. If enough people complain, then they may make it a priority.