Any clues on how the choke stays up on my MX400? I can pull it up then it just falls back down 

 

On most models there's a clip that goes into a slot just above the nut flats. Clip catches a groove in the plunger shaft.

Clip could be bad/missing/broken or groove in plunger shaft could be worn. Clip should be under boot just above nut part.

Sometimes if it's a worn groove in plunger shaft you can lift plunger and rotate shaft slightly to a fresh section of groove.

Here's some pics of typical parts...

Groove in choke plunger shaft:
 

Slot in choke nut:
 

Choke clip. Straight part where arrow points goes across where my arrow points on choke nut...  catches groove on shaft.
 

 

Turning it works a treat. Thanks @MarkT

You are missing the little knob on top of the choke plunger, this is what it should look like (random eBay picture) they are kinda rare as they always break and fall off, I have removed the choke plunger and used a 4mm or 5mm dye (can’t remember which size) to cut threads into the shaft and threaded on a knob that you can get at most hobby shops. 

 

Yamaha went to extremes on leaving off even small parts to save weight... It would not surprise me if the MX/YZ models did not come with a choke knob.