D3DXMATRIX *WINAPI D3DXMatrixRotationYawPitchRoll( D3DXMATRIX *pOut,
FLOAT Yaw,
FLOAT Pitch,
FLOAT Roll
);

の、yaw(y軸周り）とpitch（x軸周り）が逆になってませんか？

D3DXMatrixRotationYawPitchRoll( pOut, 0, rot.y, 0 ) == D3DXMatrixRotationY( pOut, rot.y)
D3DXMatrixRotationYawPitchRoll( pOut, rot.x, rot.y, rot.z ) == D3DXQuaternionRotationYawPitchRoll( pOut, rot.y, rot.x, rot.z )
になっちゃっているんですけど？