That is normal behaviour for yahoo contacts.....the interoperability of the chat protocols doesn't allow for nudges or winks or any such like.
So there isn't any problem with your messenger
If you click on any @hotmail, @live or @msn contacts then you'll see the full range of icons at the bottom.
Also, you're posting in the wrong section.
Your enquiries are relating to Windows Live Messenger and should be posted
here.
You do not have Messenger Plus! Live installed