Heading hold is a misnomer, it sounds like the gyro knows your heading (which is a compass course) and it doesn't. It should ideally be called attitude hold.
If you release the sticks the plane will keep going where its going, if you give stick input the plane follows them. Where hold mode shows its chops is lets say you roll inverted, in normal mode if your model is a little nose heavy as most are, the nose will slowly arc towards the ground until you give elevator to correct it. Wind gusts wont bounce it but it will gradually point back towards the ground.
In hold mode, you can roll inverted and establish your line and let go of the sticks and the jet will stay level where you put it.