Sure you can do that. You can compile your programs from source too, but like most people I’d rather not.
Yeah same @vazicebon.
If yay encounters an issue installing something, I might grab the package source via git or yay -G somePackage and fiddle with it using the standard makepkg tools.
I can’t recall ever encountering an issue that was specifically a result of yay though. If yay has failed for me, it’s usually because there’s an issue with the PKGBUILD or something upstream.