Gideon's first ability doesn't count as a creature entering the battlefield. Gideon was already on the battlefield; he only changed his types. Specifically, your rally abilities won't trigger. (Of course, Gideon's second ability will cause rally abilities to trigger.)

If Gideon becomes a creature the same turn he enters the battlefield, you can't attack with him or use any of his {T} abilities (if he gains any).

Gideon's first ability causes him to become a creature with the creature types Human, Soldier, and Ally. He remains a planeswalker with the planeswalker type Gideon. (He also retains any other card types or subtypes he may have had.) Each subtype is correlated to the proper card type: planeswalker is only a type (not a creature type), and Human, Soldier, and Ally are just creature types (not planeswalker types).

If damage that can't be prevented is dealt to Gideon after his first ability has resolved, that damage will have 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). Even though he has indestructible, if Gideon has no loyalty counters on him, he's put into his owner's graveyard.