Yellow lights or yellow film on fog lights have no proven benefit while driving. It does not increase visibility nor "penetrate fog." I don't know when the marketing for yellow fogs came about but any benefits is little to none. Fog lights are just nice and low to illuminate as much of the road while limiting amount of light reflected off the fog (glare).
On a side note, I have no idea why on some versions of Subies that the fog lights won't function unless the headlights are on. It defeats the purpose of the fog lights IMO.