Hi mopi,
This is indeed an interaction between ViEmu's usage of the Windows clipboard and lack of full implementation of the numeric registers. By default, the setting "Default to Windows Clipboard" is enabled in Tools|Options|ViEmu. Thus, the yank you are doing is going to the windows clipboard. You can recall it from the ex command line with Ctrl-R, " (<quote>) or Ctrl-R, *, or even Ctrl-R "any random char not recognized as a register", including Ctrl-R Ctrl-R (I know this triggers special behavior in vim, in ViEmu, it's just not interpreted).
If you disable the above setting in Tools|Options|ViEmu, Ctrl-R, 0 (<zero>) will correctly recall the last yank, but you won't have the useful defaulting to the windows system clipboard.
Hopefully this was comprehensible too
Regards,
Jon