PETN is not hard to synthesize, I'm surprised anyone would send it through the mail though. I could make kilos of the stuff by 5PM today, I won't because I'm not precluded to that kind of stuff.
But by your logic lead azide was sent there as well? I wouldn't mind making that in a fumehood, under inert conditions, and very cold, but how would someone in the Yemen get hold of that? If it was there then it has come from somewhere.
Quite where that somewhere is is probably now the question.
Also I am not convinced about what exactly was their aim. Detonate it over a city? Not with that amount, it may cause failure of the structure, but I cannot imagine it to be catastrphic.
If "they" are planning a spectacular event, it's going to be found now surely. Plus if you are going to use a high explosive, why not use RDX or something of it's ilk that has a higher chance of causing damage?