As I say in my review of season 1, https://myanimelist.net/anime/25013/Akatsuki_no_Yona/reviews, I am not the biggest fan of this show as a whole. However, the side characters, side stories and backstories have really prevailed in these OVAs.
I argue that Akatsuki no Yona may be a better anime if you simply watched the backstories and side stories. For some reason, Hak, the dragons and Yun are so interesting in comparison to the confusing and half-decent main plot and main character. So whenever they introduced a dragon, I would always be happy to learn about them (which I can't say is how I feel about all anime backstories).
Needless to say, I have a particular love for how they tell the dragons stories. OVA 2-3 particularly shine in this. I felt so much for Zeno and I felt so intrigued by the tale of the old dragons that I sort of wished the initial anime was based in his perspective. There was pain, mystery, growth, loss and hope all in a collection of around 40 minutes. I totally recommend watching these OVAs!