Yoghurt is absolutely fine to eat when pregnant.

But if you want to eat it for the beneficial bacteria, don't buy the normal brands. Most have little to no resemblance to a real fermented yoghurt. There are some very good ones out there and readily available, though. Like Jalna, Bornhoffen, Gippsland Dairy & Brahmbah Organics.

Commercially bought custard is fine to eat, too. If eggs are indeed used (in many cases, there's no egg involved and other thickeners used instead), then they have to be pasteurised, so they're fine to eat. Same goes for those little tubs of Tiramisu.
Eating custard hot only applies to home made egg custard from scratch. As you are using fresh eggs and no preservatives etc. there is a risk of bacterial contamination. So it is advisable to only eat it when hot and not to keep it for another day.
If however, you are using a custard powder the eggs that are in the mix have been pasteurised (it's law in australia that egg products have to be pasteurised).

So eat your yogos (whatever that is) and don't feel guilty about it.

Sasa