The reason frozen milk turns yellow is because the milks proteins and the fat get squeezed out of the mixture of the milk when it's frozen.
The fat content in the milk then forms around this central core of ice which causes the milk to look and turn yellow because the yellow you're seeing is actually the fat content of the milk.
When you freeze the milk the freezing process of the milk causes the water in the milk which is 95% forms big chunky ice crystals and they don't want to have the proteins and the fat in them.
So the fat then spreads out into one place and that fat content is what you see as yellow in the milk.
The milk also changes taste when frozen and so the milk may not be as good tasting as it would be when fresh but even when the milk turns yellow because of being frozen it's still safe to drink.