Well the 404 error is not found, I believe in this context it’s telling you that the remote server (www.yammer.com) reported that the URL could not be found.
Looking at the API documentation at Yammer, it looks like the URL you’ve entered is of this format:
https://developer.yammer.com/docs/messagesid
However that URL is specifically for deleting a message. I assume you are seeing a 404 because you’ve appended your API key or group ID to the end of that URL and a message in Yammer does not exist with that ID.
I would be happy to stand corrected but I don’t think the Yammer REST API is compatible with Webhooks, so I don’t think this will be possible without a plugin or a third-party Webhooks service.