I tried this myself and it's the same for me.
I can see that the service is functioning because if I capture the issued URL that RapidMiner issues and use it in a browser, I can download the required data.
The URL is of this form.
In fact, you can use the Get Page operator in the Web Mining extension to directly get this data. So RapidMiner ought to be able to see this.
If I look at the response in detail, I can see that reply contains a redirect so I suspect there needs to be some logic to follow redirects in the code.
This is a double post, the main thread is here: http://community.rapidminer.com/t5/RapidMiner-Studio-Forum/Yahoo-Historical-Stock-Price-Operator-is-...