If you activate Gideon's third ability and then damage is dealt to him that can't be prevented, that damage has all applicable results: specifically, the damage is marked on Gideon (since he's a creature) and that damage causes that many loyalty counters to be removed from him (since he's a planeswalker). If Gideon has no loyalty counters on him, he's put into his owner's graveyard as a state-based action. (As long as he still has indestructible, the marked damage won't cause him to be destroyed.)