Hi
I can tell you how my P1 works and I would assume that the P2 works the same way...
Regardless of the current mode (GPS/ATTI, ATTI, Manual) and IOC setting (Off, CL, HL), when the TX/RX link fails, the Phantom will hover for a few seconds, then climb to 20m above the Home point (or maintain altitude if already 20m or more above home point), then fly home, descend and land.
I have set my Fail Safe in the NAZA Assistant to do this. I think the default is just to land.
Note that if there is an obstacle in the way, the Phantom WILL hit it.