Depends on the network/group configuration. Office 365 connected Yammer groups store the files in the connected Team site, which by default has 1TB of storage allocated (consumes your SPO storage). Normal Yammer groups store the files in Yammer and there are no storage limitations there. External Yammer networks don't support connected groups, which is why there is no storage limitation for the entire EN.
Surely thats only correct if you choose to upload files into the associated teamsite ... the standard Yammer file upload behaviour by default continues to point to the Yammer files area on either app and the browser.
Q:In a new connected group, I see there are Yammer Files and a SharePoint Online Doc Library, are these the same thing?
A: No, these are separate locations to store files but the members of the group have access to both locations. Files uploaded to Yammer are stored in Azure today and will remain so for the time being, while retaining all their current permissions and capabilities. With Office 365 connected Yammer groups, users will also be able to upload and store files in their group's SharePoint document library.
We recommend storing content that needs the structure and management capabilities of SharePoint in the group document library. For easy, quick sharing of images and documents, or to stream videos in Yammer, we recommend continuing to use Yammer. Longer term, our plan is to migrate all files stored in Yammer to SharePoint to provide unified file storage.