Piezo can be both heading hold or non heading hold, or only non heading hold.
Non heading hold will always turn with the nose in the wind.
You also need to add REVO mix, to compensate the torque of the main rotor.
With heading hold the tail (or nose) will stay on the place you have pointed it. Even with side-wind, it will stay on the last chosen position.
So you can buy a piezo that is only non-HH or one that is both.
To activate the HH : less expensive one will be on the gyro, more expensive one will be on the transmitter.
Very good combo for the price is the Futaba GY401 with digital servo F9253.
Another version of gyro is the mechanical gyro.
So HH is only a " work mode " of a piezogyro.
This is a very limited en very simple explanation.
Hope it helps a little.
For more, check out :
http://members.telocity.com/fritzthecat/
Mario