FXP, the protocol used to transfer directly between servers without using your Mac as a middle-man, is not supported in Yummy FTP.
Some FTP clients do support this capability (eg Fetch does) but most servers do not support it, even if they are capable of doing so, because of security concerns. So you might find that it's hard to find two servers that you could even take advantage of such a capability.
Having said that, such servers do exist, so I am adding FXP support in Yummy FTP v2.0