Do think certain types of fairies can change into animals or other creatures because I do.

That's a cool idea. They may be able to, because some animals end up in amazing situations never to be seen again.

Like I read this story one time about people encountering a beaufiful yellow bird that no one could identify or find again. It may have been a fairy.

I never thought about it. Possibly yes, but since there are no designated rules for what fairies do and don't do (it's a matter of opinion) I'm gonna say no.