got that tested for ya
Basically when you press R with yoshi, on the very next frame he is invulnerable.
This invulnerability lasts for 7 frames before the egg is shown
The powershield window comes out on frame 3
So you have 2 frames of pure invulnerability, then your -shield- comes out, but is not shown for another 4 frames
Now for the good stuff;
Once you press the shield button, you have a 5 frame window to jump out of your shielding animation
There is no shieldhitstun, your opponent is hitting an invincible opponent, he will be stuck in hitlag, you're movement is unhindered, but long story short, you have a 5 frame window to first get hit by the attack, then jump after it. Because as soon as you jump you are vulnerable.
You need to negate their attack with your invincibility (have it hit you while you are invincible), then you are free to counter with anything you can do out of a jump
that make sense?