Its not the gyro storing the settings its the radio.

The gyro initializes and memorizes the center pulse of the rudder channel and assumes this as nuetral. This is the 3 second fast flash and why you can't touch the rudder or move the gyro while its booting.

Once its stabilized in heading hold mode, any deviation from that pulse (usually around 1520us) it considers as a command to turn (double flash). All that happened is when it memorized the center in whatever mode you initiailzed, when you changed flight modes it took it as a rudder command started double flashing.