Welcome to the world of 3D. I’m very optimistic that something similar happened to everyone of us here.
But it’s good to see that you found your own solution - check www.yafray.org the next time before experimenting on your own, surely you’ll find the necessary info there (btw, I personally always use .tga when working with yafray).
It’s not that the conversion is hard. It’s that you need to know that you have to convert them that took hours to figure out. If the renderer is not going to support the file type then you should not be able to select them in the GUI interface.
Then TGA it is, I mainly used PNG with After Effects because the compression is a little better.