Why isn't ESP8266 connecting to wifi when calling yield()?

Question

I'm experimenting with ESP8266 and I want it to cycle through various states: LED on/off, WiFi on/off and measure the connection time, deep sleep.

I wrote the following script, using millis() to define the time intervals. I cut away the previous parts of the code to have a minimum test case.

I read that ESP8266 has the watchdog automatically on, so I used yield() when spending time waiting, instead of using an empty while loop. I didn't use delay() because it block further execution of the code, and I tend to avoid it. I know it would reset the watchdog too.

#include <ESP8266WiFi.h>

const char* ssid = "wifi";
const char* password = "pass";

const int led = 2;

void setup(void){
  unsigned long refTime;

  pinMode(led, OUTPUT);
  Serial.begin(115200);
  digitalWrite(led, 1);

  refTime = millis();
// isssue from here
  while ((millis() - refTime) < 3000) { yield(); }
// to here

  Serial.println("Connecting...");
  refTime = millis();
  WiFi.begin(ssid, password);
  Serial.println("");
  while (WiFi.status() != WL_CONNECTED) {
    delay(500);
    Serial.print(".");
  }
  // never gets here when "issue" code enabled
  Serial.println(millis() - refTime);
  digitalWrite(led, 0);
}

void loop(void){

}

If I use the yield(), then I never get a WiFi connection (well, it happened only once, actually).

Why is yield causing issues?