Expanding on the other comment, the answer is that Jane Street uses OCaml, where they have to build many of the libraries themselves. They've built good libraries for s-expressions but not for YAML.

They've also built an ecosystem of tools for s-expressions and switching to YAML would discard that ecosystem without significant benefits. This is self-reinforcing, for example my tool uses s-expressions because everyone does, and it added to the ecosystem that makes s-expressions the right choice. Almost everyone there uses Emacs so s-expressions are equal to or easier to edit than YAML.

Kinda the same reasons that for config files Ruby people mostly use YAML, JS people mostly use JSON and Rust people mostly use TOML.

From the looks of it, their config files are close to (if not actually) executable code. It also looks like S-expressions are a common data serialization format for OCAML, which Jane Street is known for using.

Turning the question around, what would the advantages of using YAML instead of S-expressions?