If you have already mailed such late returns, please say "NO" on that question, however, I would advise you to bring such late returns on Naturalization interview, and in the event that the adjudicator inquires about those correspondences on your late return, show him/her such documents.
As long as you took any action regarding your late tax return, it will not affect your N-400 application. It means you will be processed further for other questions or other requirementto be considered to decide your petiton for N-400 to be approved.