I recently bought a Yun and tried to use the 5V output (HE14 connector) to power a 4 digit display. The problem is that the 5V provided by the Yun is in fact about 4V, so it didn't work.
I measured with a multimeter the voltage between the Gnd of the microUSB connector and the 5V of the microUSB connector: 4,8V. But there is two shottky diodes between the 5V(microUSB) and the 5V(HE14), so 2*0,3 = about 0,6V lost. I have also 0,2V between the Gnd(microUSB) and the Gnd(HE14), so finally 0,8V of difference !
Do you have the same electrical levels on your YUN? Is it normal?