I tend not to give much creedence to a preschooler telling me they feel sad that they don't get to do whatever they want.
I do think kids need whimsy and silly things. Heck, so do adults. I'm a fan of having days FULL of silly things. Games, eating ice cream for dinner, midnight sledding (or slip and slide), Nerf wars, games of tag where mom and dad are "it." We installed a zip line and built a tree house. We love to be silly. But I'm not a fan of "Yes Day."
Why? Because it's not grounded in reality and will not help kids to understand healthy boundaries. There is no "Yes Day" ever. Not truly. For some reason, I think kids become a little obsessed with the idea of "doing whatever I want," but do we ever, really, as adults? We can be silly, but we have rules and boundaries and sometimes "No" to keep us safe and to help us be successful.
So, instead of "Yes Day," I'd give an okay to "Silly Day," where we do silly things and backward things, but we (and they) can still say "No" when we need to.
ETA: From the article posted above: "5. Saying "yes" can demonstrate an understanding of personal worth." I couldn't disagree more. This statement makes me twitchy. Lord, we already live in a world where so many kids think that their mother's and father's entire WORLD revolves around them. Kids already have an overinflated sense of self worth. "Yes Day" isn't helping teach any lessons about personal worth. The contrary, actually.