Insect damage to sedum (stonecrop)
We cannot say for sure what is going on. You did not mention how the plant looks overall and the site conditions.
The insect on the foliage looks like an aphid, a sucking insect. In general, predators take care of these insects naturally if the infestation is not large. It is possible predators are lagging behind due to the cold weather we had. You can dislodge the aphids with a forceful stream of water from the hose if need be.
Here is more about them https://extension.umd.edu/hgic/aphids-trees-and-shrubs
This may also be guilt by association and the aphid may just happen to be on the foliage.
The yellowing foliage may be due to the recent frosts and cold temperatures that we experienced recently and/or possibly too much moisture. Check the drainage in the area and make sure mulch is no thicker than several inches and away from the base of the stems. Sedum grows best in full sun in a well drained soil.
You can send us more photos if you notice additional symptoms.