>>> print('{}'.format(u'\u2107'))
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
UnicodeEncodeError: 'ascii' codec can't encode character u'\u2107' in position 0: ordinal not in range(128)
>>> print('%s' % u'\u2107')
ℇ

(You get the exception without the print as well, just in case that isn't clear.)

Ah, and now I see why this is true.  The '%s' gets implicitly coerced to unicode.  So, it is not a bug in format, and the yield statement change should be reverted.

You can use format if you just always make your format input strings unicode strings (which you should be doing anyway, especially now that python3.3 will allow the 'u' prefix...that is, such code will be forward-compatible with Python3).