I let a bandit yield once, he proceeded to try and attack me after he healed up a bit. Would have liked to see some better mechanics with the yielding.
Yes. I have long wanted something there so it doesn't seem like everyone is suicidal in TES. Surrender, really run, something.
I don't know what they could do with it though (maybe some option to take them to a jail or something, or some Mount and Blade style ransom broker). Make em drop their weapons and run before I count to ten and if I ever seen them again...