This is pure speculation on my part, but I wonder if the yellow lightning bolt stayed yellow in the PuTTY icon (among other uses) because the symbol was likely just borrowed from safety warnings. Yellow has been preferred for a long time since it's considered a high-vis color and would typically stand out on industrial machinery housing where you might want to clearly warn someone of shock hazard with a pictograph so the warning transcends language. The lightning bolt stayed yellow as a result of "that's how we've always done it, I guess" thinking