You can't just plug a gyro into a cx2, the cx2 uses mixing of the motors in the gyro to hold the tail, the gyro you bought is intended to work with a servo to change the pitch of the tail blades in order to hold the tail.

You really should have checked into this before buying a gyro but I believe that there is a way to make it work but you have to take the 4 in 1 apart. I'd suggest asking the question in the eflite sub forum.