I started up with the old Align gyro and could never get it to work properly so I put it in a drawer and bought a Futuba 401. Have bought another for the XL I've just finished.
I would have tested another servo if I were you Esky servos aren't really "top of the line" stuff. (Just try one of the others on throttle hold)

In HH the servo might creep but with a proper mechanical setup, that is with almost no drift in rate without using trim, this creep should be very slow.
Mu Futuba doesn't act that way even with a low gain setting but adjusting up your gain to almost max to test if you get a crisp response (but tailwag) would be my next step.

Try putting the gyro and tail servo on another channel to see if behaviour alters, in case the problem is your radio.