The relays on this board are 12 volt relay coil, but there is no place to provide 12 volt power.
I found this on the Velleman website in the page for the VMA05
[color=#BF0000] (*) It is required to power the Arduino UNO (not supplied) with a 12V DC 500mA power supply (not supplied)[/color]
This shield will not work with the Arduino Yún. Use the KA08 or VMA08 with the Arduino Yún.