Master CP gyro (6 axis)

Does the gyro work with Deviation properly?
Where are gyro gains set in Deviation?

Yes, as the Gyro is part of the model, not the transmitter.

In the Standard GUI, just find the Gyro icon, and set them there. I don't use it, so I can't provide details. Those can be found in the manual that you can download via the "User Manual" links to the left.

In the Advanced GUI, you need to set up the channel connected to your Gyro using Fixed curves with the appropriate output enabled by whatever switch you desire.

MasterCP has FBL (including gyro) + receiver all-in-one in one module - just like Spektrum AR7200BX does it for example.

It uses the Walkera DEVO protocol.

So yes, it will work with DeviationTX.