Does Master Yi's +2 stop applying if another unit joins the battlefield?

Yes. Yi's ability uses "while," so it passively applies while the condition is true and ceases when another unit is present. Fiora's doubling stays (like Kha'Zix) but she loses the +2 from Yi, so a 3-Might Fiora that doubled to 10 ends at 8. Contrast with Mask of Foresight, which uses "when" and triggers on the chain.