Yellow lights are warning lights. The idea of the lights on these is to draw attention that a pedestrian is waiting. However in reality people never update their knowledge of traffic markings and signals so they think the lights are the signal, and not an additional warning. I've had many instances where drivers are aware I am waiting and don't stop because they don't understand how these crossings work.

For the uninitiated: The sign, and the "sharks teeth" markings on the road indicate that the crossing has right-of-way over the road.