just cause it is a 9z, and has multiple conditions available, look at the subtrim menu whilest you are switching the gyro from low to high and back, to insure that subtrims are not changing with the gain selection. look at the trim menu as well. they can be different from condition to condition.
also,
disconnect one servo from the y lead, so as to leave only one servo connected to the gyro and see if it still does the re center thing, if not, then most likely a "jr matchbox" added to the system in line to one servo will help ya out.