It can't be said which one is absolutely better. It is very important on what you want to emphasis and how you want to express it. I give you an example to show you that in this case the second one works better. Few days ago, I was designing a web page for a software application in which I needed to show the user the following sentence:
It seems that the Fractal Accounting server address has not yet been added to your IE's "Trusted Zone."
Now, you tell me: How can you re-write this sentence in the first form? I mean, where do you put "yet" in a way that reading the sentence would be as smooth as it is now?
In your example, on the other hand, the two expressions give two (slightly) different impressions: "he has not replied yet" means "I still hope that he would reply, because (for example) he is a little busy but will eventually reply, as he always do" while, on the other hand, "he has not yet replied" means something like "I expected a quicker response from him and there are other things that I should do after his replying, but he has not even replied."
In fact, in the first form you emphasize on the time of replying, while in the second form your emphasis is on the "replying" itself.