Cool deal on the separate Rx. Okay, this is what I would do. Download the 4.0 software for your computer by
"Clicking Here" and install it on your computer. Connect the 3GX to the computer and reinstall the firmware to the 3GX. Then completely go through the DIR and Rudder setup. sometimes, you just need to start over on these things to get them working correctly.
One thing to remember is with running a separate Rx, your gyro is on channel 5 and your gov is on channel 7 (gear and Aux2 respectively). In your gov menu on your Tx, you cna set one position to 0% and the second position to 50% to simulate 50% gain on the gyro, and you should be able to get those to change the color of the gov light.
On your gyro, if you have it set to your fmode switch, you want a green status light in all positions. Only on the gyro switch do you want rate mode. As you know, you should only fly in HH mode. Never in Rate mode.