I was trying to add some extensions to Member through config.yml and also tried app.yml, the syntax was OK and still, it worked only when I added the same to _config.php as Object::add_extension('Member', 'Shops');
What do think guys, is it the normal behavior?

Sounds like you forgot to flush.
Silverstripe caches default config settings (things in private statics and yaml).

Log in as an admin, then load the site with ?flush on the end of the URL.

That is why it is strange. Doing dev/flush has become one my most used command ;) , I did try that, no changes. I mean it works with adding objects to _config.php, I am just curious why a nice feature doesn't work.

I love SS, but sometimes the lack of examples just drives me crazy...

There is no dev/flush, you should be using ?flush=1 as a query string. There is a dev/build which does a flush too depending on the version of 3.1.x

You use the dev/build when you change the database model only.

Use flush when you change the yaml or add new php classes to the site (rebuild the manifest).

I know there is no dev/flush, I wrote that figuratively...

Probably easier to say "build & flush" then to avoid confusion.
I thought exactly what Cam did.