Either you heard wrong or were told wrong.
No such thing as a gyro that can detect cross-wind conditions.
The only thing a gyro does is to remember where it was going, and if something comes along to upset that path, the gyro changes it's output in an attempt to get back to the original path.
In this $0.25 version, "path" means the pre-existing steady-state condition in any of the three axes about the model (yaw, pitch, or roll).
If you use a rudder gyro, it will tend to correct for changes in heading. In a cross-wind, the gyro will try to maintain whatever heading it had prior to the gust of wind.
A rudder gyro doesn't know anything about the roll and pitch axes, and therein lies the rub : a rudder gyro will (try to) maintain a fixed heading and in doing so can induce a roll moment which will require manual intervention.
About the only real use of a gyro in a fixed-wing model is for rudder, and more importantly, as applied to conventional-gear models (tail draggers). A rudder gyro will aid in maintaining the runway heading during take off, and once set, the runway heading during landing.
Many flyers who have rudder gyros on their tail-draggers only use the things during take-off and landing, and switch them off for normal flight. Cheers, Fred McClellan the dash plumber at mindspring dot com