They obviously know, but are legally forbidden from commenting.
I think people often forget that corporations are about the furthest thing possible from monolithic. It's entirely possible for one organization within a corporation to receive a request that is within its own ability and authority and to handle it without bothering to tell anyone else, or with only brief consultations with legal, who may not have kept any records. Given government secrecy requests/demands, that possibility grows even more likely. Further, corporations aren't static. They're constantly reorganized and even without reorgs people move around a lot, and even leave the company. There are some records of what people and organizations do, but they're usually scattered and almost never comprehensive.
It's entirely possible that they did something like this, that the system was installed and later removed, and that the only people who know about it have left the company or aren't speaking up because they were told at the time that they could never speak about it, and that the organization that was responsible for doing it and/or undoing it no longer even exists. It's possible that Yahoo's leadership's only option for finding out whether it happened is to scan old email to see if anyone discussed it via email (which may not have happened; see "government secrecy requests/demands") or to look in system configuration changleogs to find out if the system was ever deployed (and it may have been hidden under an innocuous-sounding name)... or to ask the government if the request was ever made.
Of course, my supposition here depends on a culture of cooperation with the government. I don't know if that existed at Yahoo. I think most of the major tech corporations at this point have a strong bias towards NON-cooperation, which would cause any request like this to go immediately to legal who would immediately notify the relevant C-level execs. But I have worked for corporations where the scenario I describe is totally plausible.