Right. But bug buzz goes through the sub and swiftly KO's.
You are right that a 0/0 yanmega can't take a +2 SP, (0/212 can, but I doubt it'd be worth it), but I still think Yanmega would win. Yanmega switches in on a substitute, it KO's with bug buzz. You can't SD under your sub, as Yanmega KO's you. If you are successfully able to Sub and SD without yanmega coming in, you have an awful opponent. If you SD on the switch, you're being very risky as what was in previously could hurt you. It's usually safer to Sub on the switch, and that's when yanmega comes in. Also, a Sub - SD set doesn't seem great, as you lose out on so much coverage.
Yanmega obviously isn't a perfect counter, but it is a great check (especially if you're running 212 Def. / 252 Sp. A / 44 Spe.), but it is a nice check to the set you posted.