How come most of the helis i see have a Gyro like this? The AXE CP's looks nothing like this. What exactly does this unit do?

The Gyro that is inside the Axe CP is built into the CCPM board and the Gyro on this board uses no moving parts. The Gyro you posted (I am assuming because I don't know what brand/model etc) uses moving parts which draw more power. There are different types of Gyros, such as heading hold. It makes flying more stable. The Gyro in the Axe CP is pretty powerful, I turned up the gain on my Axe CP and it became much more stable.

There are several factors, for one: Space limitations on the AXE as opposed to a 90 gas Heli that has plenty of real estate in the machine to mount a large Gyro.