Gyro+THR sets the CGY to pass the throttle signal through and the CGY governor is disabled.
Pages 5 and 12 of the CGY v2 firmware manual discuss this.
You can plug the throttle into either the CGY or the receiver.
I elected to plug my throttle into the CGY as it is one of two BEC connections from my ESC and it is a physically cleaner wire layout for me. Also it decreases the complexity of having to remember I did something a little odd during setup of the heli. Last but not least the other BEC wire from my ESC does run to my receiver but is not a throttle input for my ESC.
Hope that helps, and happy building!!!
Robert