Are they cloned in to study or naturally occurring? What is the significance?

The yeast prion is simply a model system for (variant) Creutzfeldt Jakob Disease (v)CJD, Bovine Spongiform Encephalopathy (BSE), Scrapie, and other Transmissible Spongiform Encephalopathies (TSE) diseases. Due to the infectivity of the disease and rapid progression of the systems, including death within 1 - 2 years, it is very important to work with a model system that is much safer to handle. Here are a couple references on the subject:

Patino MM, et al. 1996. Support for the prion hypothesis for inheritance of a phenotypic trait in yeast. Science 273: 622 - 627.

Liu JJ and Linquist S. 1999. Oligopeptide-repeat expansions modulate 'protein-only' inheritance in yeast. Nature. 400: 573-576.

Prion proteins are natural in a several number of organisms, we have, wild animals have and yes, yeast and fungis have too.
Some scientist believe that the normal prion protein controls the calcium flow thru the cell membrane, but in yeast the protein have a different function... Im gonna look at this for you and add a post later [ now Im going back to the lab, my cultures are calling me :) ]