If you have a Turnigy 9X radio it would be best to upgrade the firmware to Open9x. But if you dont want to do that then you can still setup the failsafe for the Turnigy 9X. But in general I would use one of the Frsky modules with the Turnigy 9x.
However you can still set the ardupilot failsafe on the stock Turnigy 9X radio. You can also check its working properly on the mission planner.