In The Dragon Reborn Perrin and others visit the town of Remen where they find Gaul the Aiel locked in a cage. Later Perrin frees him and, after a fight with the Whitecloaks, Gaul says they should run. Why? Shouldn't Gaul have considered himself gai'shain to the Hunters of the Horn who captured him and served them for a year?
I'm not sure of the exact place in the text because I have the audio book. A search tells me the incident occurred somewhere in The Dragon Reborn Ch33 through 35.
Note: I believe that Faile was gai'shain for a while so the custom doesn't just apply to Aiel.