The gain on a yaw-rate gyro functions differently than on a heading hold gyro. It controls how much the gyro dampens (works against) movement. This is fine if you are not using the rudder. However, if you use the rudder, a yaw-rate gyro will dampen this movement too.
So increasing the gain on a yaw-rate gyro has two effects:
It dampens random movement more, so the tail is more stable. This is good.
It also dampens intentional tail movement, so this decreases the maximum pirouette rate. This is bad.
A standard single-rate yaw-rate gyro exhibits these bad behaviors. There are more sophisticated yaw-rate gyros which partially fix some of these problems:
Dual-gain gyros allow you to set two gain settings on the gyro and switch between these two gain settings from the transmitter, so you can decrease the gain when you need high pirouette rates.
Remote-gain gyros allow you to set the gain from the transmitter by a knob or switch, so you can decrease the gain when you need high pirouette rates.