WKM or Naza with GPS there are two options for failsafe (loss of signal from control TX and not to be confused with second stage low voltage if it is turned on), landing and return to home. RTH point is where the motors were started after the GPS has acquired a minimum of 6 satellites shown as a single red flash of the LED. Better yet wait for no red flashes to make sure it has a solid GPS lock, in the case of the Naza it should only be a few more seconds from a single flash, the WKM can take longer. If you set it to landing, obviously it will land wherever it happens to be and that is not necessarily a good thing.
The other failsafe that needs to be set is the TX/RX and not all radio sets support a "full" failsafe meaning they can capture the position of both sticks as the failsafe position. Some sets only capture throttle and default to the last good command from the TX on the remaining channels, so if you're doing a hard right bank when the signal goes out and have the throttle set to hover then it will likely keep circling and depending on prevailing conditions may slowly descend or possibly keep circling until it runs low on battery. With the more advanced JR/Spektrum you can set failsafe either way by either removing the binding plug or leaving it in during the binding process.
Anyway, either the WKM or Naza will stop and hover for a set time period before executing whatever has been programmed for failsafe (landing or RTH). The Naza manual says it will hover for 6 seconds before landing in landing failsafe mode, RTH if I recall correctly waits a little longer. If you have inccorectly set the radio failsafe during the bind procedure all kinds of unexpected events can take place if you lose radio signal as the RX will override anything the WKM/Naza does in the first few seconds before the time limit on the flight controller expires and the programmed landing/RTH begins, so it is critically important that the radio failsafe be setup along with the DJI failsafe for everything to work correctly.
Best way to test RTH is in the middle of a big open area, go outward a short distance and set GPS position hold at roughly 60 feet altitude which is close to the default RTH setting (programmable on the WKM but not the Naza), then trigger a failsafe via a switch on the TX if you have a radio with sufficient channels to set it up, otherwise your only option is to switch the TX off. While that may sound extreme, if the binding failsafe is setup correctly on the radio the end result will be the multi hovering for a few seconds then starting back to where it took off from IF you waited for a GPS satellite lock BEFORE starting the motors. That's the other thing that can cause unpredictable events on failsafe, if the controller didn't acquire enough satellites before takeoff then a failsafe event causes it to try and return to China...
HTH
Ken