I'm not aware of any published material that would indicate that's true.
However, put yourself in an Admissions Director's chair. When a strong applicant, who is also a legacy, applies RD, you might wonder: Why didn't the legacy apply SCEA? Did she apply somewhere else early? How strong is the legacy's interest?
If that same legacy applies SCEA, none of these questions come in to play. Yale knows you are their first choice.
So, logically, the rumor would seem to make sense.
That said, see: Debating Legacy Admissions at Yale, and Elsewhere - NYTimes.com
"At Yale, legacies make up about 10 percent of the 2010-11 undergraduate class compared with 31.4 percent in 1939, he said.
“We turn away 80 percent of our legacies, and we feel it every day,” Mr. Brenzel said, adding that he rejected more offspring of the school’s Sterling donors than he accepted this year (Sterling donors are among the most generous contributors to Yale). He argued that legacies scored 20 points higher on the SAT than the rest of the class as a whole.