You can definitely build buildings where you want to.
However, right now there are a few things that are slightly uninuitive which results in confusion
1) Yellow tiles require specific improvments to build on them (arid/swamp building improvement). So if you try to build a research building on an arid tile for the research bonus, it will 'boot you out' if you don't have that specific improvement researched.
2) There are also a few bugs with specific improvement tiles that don't allow you to put specific structures on them as well.
These should be addressed in an upcoming patch.