Nothing is wrong with the gyro.
When u switch it to HH mode or AVCS mode, make sure you have all the Revoloution Mixing to 0. If you have revo. mixing ON , the tail will not stop turning. Also in HH mode make sure you have your rudder trim in center position.
For easy set up follow this:
Put your gyro AVCS mode button to ON position and keep the radio and gyro On. Rudder trim to zero or center.
All revo. mix off or zero. Center the servo horn at 90 degree. Set the tail pitch slider so you get 0 (zero) pitch by adjusting the tail linkage mechanically. This position you will see the tail blades are straight.
Now turn the radio and gyro off.
Now turn on the Radio first then turn on the gyro.
You will see when you move the rudder stick, the rudder servo horn wants to stop a little where you give 'em the movement. Thats what the HH mode is for.
Very easy. No more tail holding.
Fly safely.

Arshad