I've not made one either, but I would think that if you didn't attach the yo-yo's to one another and just tacked the center to a backing, the edges of the yo-yo's would eventually bend up from washing or handling. That would make for a pretty lumpy quilt!
I have seen and heard of yo-yo quilts that have no backing whatsoever. The yo-yo's are tacked to one another and the effect is almost like lace. Not recommended for little hands that like to "poke" their fingers into little openings!