I know that Borden, at least, does have egg yolks in their eggnog.
(quote from their website: "Borden® EggNog is a pure, wholesome dairy beverage made with quality dairy ingredients including skim milk, cream and egg yolks for traditional flavor and richness.")
I guess I'll try steaming pure eggnog with my little home espresso machine, so as not to risk having scrambled eggnog in the wand at the shop!!
we steam eggnog with chai, we froth it for lattes, and we make it on its own without any issues. I prefer the lowfat eggnog, just 'cause it steams nicer, but we've used both.