You can definitely use the included rx battery if you want for testing but I wouldn't suggest it for when you're flying, it might add too much weight. The reason it's included is that many people fly nitro heli's and there is no battery required for a nitro engine so something else needs to power the receiver and servos, the rx battery.

Just take your time and make sure that all the servos are acting like they should before you connect the motor. Once the motor is connected ALWAYS turn on the transmitter before you plug in the battery, once you plug the battery in, don't move the heli at all until you know the gyro has initialized (either by led or you can hear it). When you're done you want to reverse that and always unplug the battery before turning off the transmitter.

I'm not saying the gyro won't work the way it's installed, just that it's a weird way to do it.... I wouldn't want that wire coming out the top just in case of a blade strike.