Yes, the Yugoslav wars followed the democratic peace theory, because the democratic peace theory did not apply. The democratic peace theory can only apply when the nations involved have strong democracies. If their democracies are fake, or if they are not strong, the fact that war breaks out is consistent with the theory, because the theory says that wars are not entered into lightly, only when there is democracy in both nations.
The former Yugoslavia split into a handful of countries in the 1990s in what was called an "ethnic cleansing" which amounted to an internal struggle within the country. The democratic peace theory follows one democracy would be hesitant to attack another, which was mostly true in this case. When violence did spill over into other countries, incidents were small and few. The internal struggle for ethnic cleansing was bloody and not peaceful, but at least the violence was kept within Yugoslavia's former borders for the most part.