If you activate Gideon Jura's third ability and then unpreventable damage is dealt to him (due to Unstable Footing, for example), that damage has all applicable results: specifically, the damage is marked on Gideon Jura (since he's a creature) and that damage causes that many loyalty counters to be removed from him (since he's a planeswalker). If the total amount of damage marked on Gideon Jura is lethal damage, he's destroyed as a state-based action. If Gideon Jura has no loyalty counters on him, he's put into his owner's graveyard as a state-based action.