It looks like they are just querying yahoo for results and ads as a proxy and it sounds like, through some contractual/technical limitations, they have to make that request from a yahoo controlled domain name (duckduckgo-owned-server.yahoo.net). However, they say they fully control the server and yahoo does not get to touch it, as yahoo delegated DNS to them.
The change does not seem malicious and if what they say is true, then the implementation might not be too bad. The volume of traffic they get probably means you cannot profile an individual from Yahoo's side. However, this potentially means that your search history is leaked to Yahoo, albeit in an aggregate manner with other DDG users, which may have attacks that I'm not aware of.
What I can see, however, is a lot of noscript users get startled by this change as they will see DDG use a script from yahoo.net (actually duckduckgo-owned-server.yahoo.net) as by default noscript does not show the full domain.