I think we're talking about 2 orange signal wires here. The manual for the GY 401 is in black and white so its impossible to tell if the signal wire on the gyro is orange.

The 3-1 is either plugged into the rudder channel in the stock setup (which I don't believe is channel 5) or plugged into the GY 401 rudder servo OUT's signal post when using the GY 401 to drive the 3-1.

The signal wire for the gyro IS plugged into channel 5 if your 9Z if it has a rotary dial for that channel. This adjusts the "gain" of the gyro. One direction is Heading Hold mode, and the other is Rate mode. If it is left in the middle, it might not initialize because gain is set to zero.