If you set an INITIAL VALUE of Yes on a Yes/No Type attribute, and maybe No (I haven't check that one)
The box is checked as it should be when creating a new record.
But it doesn't appear to be saving the value. If you bring the same record up to EDIT the box is unchecked.
We can't reproduce it on our systems. Are you sure that some rules are not re-setting the value back to No when the object is created. Please check the log.
We created a simple test and it works fine - must something specific to your configuration.