J. A. is right. It's possible your Yahoo account was getting a bit jittery for want of a password. Did you restore a backup recently, where a Yahoo account can drop off a password? Maybe to do with your Yahoo mail account? Anyway....
Go into Settings>Mail,Contacts,Calendars>Yahoo>Account and re-enter your password. Then log into your Yahoo account.
I wonder if that helped to get rid of that CalDAV password nag?
Andrew