This is definitely a bug. The easiest workaround is to re-apply the format when you change the label.
proc sql;
select pt
,question label='Y/N' format=yn.
from ds1
union corr
select *
from ds2;
quit;
If this is a concern for you in your day-to-day SAS use, I recommend submitting it to SAS tech support for further evaluation via the Customer Service Portal - Customer Support (sas.com)
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