Had the issue since upgrading to 10.9.
I am running the 10.9.1 update released today.
POP Yahoo email.
I also tired recreating several of the rules (after deleting the existing ones) and, still no luck.
I fail to understand how apple can not fix this as it's been broken since the mavericks release of 10.9. Numerous people have filed bug reports, yet, still rules (a key functionality in Mail), remains broken.
Perhaps apple might be able to fix this before 2014 :)