The board that I got has some problem with the on-board magnetometer which gives the Yaw output. I traced the problem to its power supply. Whenever I supply a regulated 3.3V directly to the board from a FTDI breakout (from SparkFun designed for ZigBee Modules), the sensor works fine. But, when I supply a regulated 5V from the same FTDI board and use the IMU's on-board voltage regulator, the magnetometer malfunctions and the Yaw output simply converges to 'SE' direction no matter in which direction you point the IMU.
Here, I am powering the IMU using the 3.3V output from the FTDI board and you can observe that the sensor is working fine and the Yaw output is correct.