If I play Deathgrip and target one unit to kill and one unit to buff, but then the opponent plays Gust to bounce the unit I targeted to buff, do I still have to kill the unit?

Yes, you still have to kill your unit.

According to RiftJudge FAQ #10055 and the general rules for targeting and resolution, here is how the sequence plays out:

The Sequence of Events

1. Playing Deathgrip: You place Deathgrip on the chain and select two targets: one friendly unit to kill and another friendly unit to receive the Might bonus. These targets are locked in when Deathgrip is placed on the chain.
2. Opponent plays Gust: In response, your opponent plays Gust, targeting the unit you chose to receive the Might bonus.
3. Chain Resolves (LIFO - Last In, First Out):
   • Resolution of Gust: Gust resolves first, returning your targeted unit to your hand.
   • Resolution of Deathgrip: Deathgrip now attempts to resolve.
     • Partial Resolution: Because the unit targeted to receive the Might bonus is no longer on the board, it is an illegal target for that specific part of the effect. However, the unit targeted to be killed is still on the board and remains a legal target. Therefore, Deathgrip resolves partially: you must still kill the friendly unit you targeted.
     • Might Bonus: Because the unit intended to receive the Might bonus is gone, you cannot apply the bonus.
     • Draw: As established in RiftJudge FAQ #10055 and #10082, you still draw one card, as the draw instruction is not contingent on the successful completion of the kill or the Might bonus.

Summary

Because the unit you targeted for the kill is still a legal target, the spell resolves partially. You must kill your unit as required by Deathgrip, but you fail to apply the Might bonus because its target is no longer on the battlefield. You still draw your card.