Yeah, yay works until it doesn't anymore, because the pacman library dependency it uses was updated but yay was not... and then you need to recompile yay manually. I mean, I'll still use it (or rather paru, which works basically the same way), but it's very annoying, when it happens every few months.
I don't understand, yay updates itself. I've never once had this problem.
You can download a precompiled yay/paru from their Github pages btw.