Ah, interesting. This is SPF working as it should, I think. The idea is that an email from domain.tlf will not be accepted unless is has been sent via IPs specified as being OK by the spf records for domain.tld.
Unfortunately, when an email is forwarded by qmail, the IP is that of your Plesk server.
If this IP isn't allowed (and it won't be), the email will be rejected.
I can't think of a way around it. Does Yahoo offer a pop3 pickup service like Google does? If so then get the client to set things up that way and all will be well.
On one level I'd be happy to be told I'm wrong about all this, but I imagine that would mean spammers could easily bypass SPF and that would be a bad thing.