According to this random stackoverflow response, Yahoo video just uses JPEG 2000 compressed frames. If true then Yahoo chat is probably super easy to pick individual frames from. That's likely why the GCHQ picked it for their project...
If you're only picking frames out at relatively infrequent intervals like GCHQ were, in most video formats it's relatively easy to find keyframes and save those - by definition they're not going to depend on any other frames.
http://stackoverflow.com/questions/5257228/do-you-know-what-...
There isn't really any new moral here; other than the idea that some unprotected data is in a sense even more unprotected than other data.