They mentioned a 3PDT switch, which is basically a 3 pin toggle that chooses been one output or another. There's no relay. All 3 pins, signal + and -, will be switched. It should work.

The schematic drawing is a bit misleading as it only has a single line representing a 3 wire lead.

Edit: my one concern would be whether or not the gyro will safely handle having the output pins being powered when bypassed, since they're not isolated from the servo.