The way the percentage arranged on the different TX are not always the same, so as long as you have the solid red LED on the 410, you are on the HH mode. And yes, it will act like you saw if you happen to change the position of the heli from what the gyro memorized, which mean even after you let go the rudder stick, the rudder servo will keep moving until it finds the memorized spot. This is how thw HH works. As for the gain setting, increase the value until the tail starts to wag, then turn it down a bit (do this with the highest possible head speed you plan to fly).

Try this, turn on the TX with the HH mode set to ON, then connect the battery on the Trex. Make sure you get the steady RED on the 410, then turn the Trex 180 degree and start to lift off. The 410 will try to turn it back to where you set it at first because it doesn't know whether you or the wind turned the Trex around.

I use the Futaba 9Z and set the gyro at only 25% for HH mode because if I set it over 35% it will hunt (tail wagging). I normally set the delay at min or NO delay at all.