I've discovered that installing the package through the setup.py doesn't work when PyYAML is not preinstalled.
That's because setup.py uses this line:
from irsdk import VERSION.
irsdk file is of course dependent on PyYAML.
Quick fix: move VERSION to different file like version.py and change line
from irsdk import VERSION
to
from version import VERSION
This is not a critical problem, but worth to resolve.