30-40 mph cross wind would be very difficult for most helis to hold in. Larger helis( .60 and up), turning bigger tail blades would have the best chance of handling it. I wouldn't blame the gyro for letting go at that speed. The tail has to generate a lot of force to counteract that much crosswind and if it can't, no gyro will be capable of holding it.
Later,,, Matt
I don't enjoy flying enough to fly in 40 mph winds