Right, i'll try and explain the idea
when the other leg is rotated in the opposite direction the same happens.
I found that the gyro was not of sufficient mass to lift the legs.
I also discovered that the feet need to grip well or they slip.
If anyone has a gyro handy, do try just holding it between your fingers and alternately twist it like shown.
what is going on is that the horizontal force is transfered into a vertical force somehow :)
Like i said i didn't get it walking but i think the idea has merit, if i held down the foot it did lift the other leg.
also my gyro developed wobbles which kept on washing off all my speed.