yeah found that too. it might just be that he has a wall kick. but i started investigating was which characters aren't "disabled" after UP+B. Diddy Kong might be just like Sonic which is why the wall kick worked. Link and Samus flash white after their UP+B but Sonic and Diddy don't. (we already know why with sonic). it might just be character specific. you might be able to even dodge after an up+b. i want to note it but as you said, if it's character specific it might not belong here.
oh yeah and... what double jump cancel? i don't play yoshi so i don't know what that is.
Ahh, but later in that same video, Diddy does an Up+B in mid-air and is CLEARLY disabled and blinking. So he DID do a wall jump after being in what normally is a disabled state. He is not the same as Sonic. I think its worth noting it, even as a "not entirely confirmed" so people can look for other cases of it. Many characters can wall jump so I wouldn't call it character specific (in fact its possible that everyone can wall jump in Brawl, we don't know yet).
Double-jump cancelling is usable by characters with extra-high double-jumps like Yoshi, Ness, and MewTwo. Its been in both the N64 and Melee Smashes. You don't have to do anything special, its automatic and used by noobs all the time without realizing it, but you can do special advanced techniques if you know how to make use of it.
Basically, if they use any attack during their double-jump, all upwards movement is immediately removed, and they fall while doing the attack. This is useful for doing VERY quick airials - you can do an air attack at an even shorter height than a SHFFL by quickly tapping jump twice to immediately jump, then double-jump, then press attack to attack, making the character do an air attack while barely leaving the ground at all. It also leads to other tactics like "swing jumping" (I think that's what its called) where you jump away from your opponent, then press back+jump plus an immediate attack, making you suddenly dive down and backwards toward the opponent with a surprise attack. Without double-jump cancelling, you can't change direction that fast in a single jump, and jumping backwards would cause you to move UP which would put you out of range to do the attack quickly enough to surprise your opponent.
However, in the Castle Siege video, Yoshi does both a DAir and a FAir during a double-jump. In melee, doing those moves would make Yoshi fall while doing the attack, but in the video, Yoshi continues going upward for the full height of his double-jump while doing the attack animation. This could seriously change the game for Yoshi and all other characters that have extra-high double-jumps, even for noob players, since it was originally done presumably to make it so these characters weren't constantly jumping too high to land any air attacks at all.