As far as how dark a roux for a gumbo, that is a personal preference and depends on the type of protein used in the gumbo. Most wild game meats, a cajun dark brown roux is used-no exceptions (see below). Chicken, medium brown roux to a few shades darker usually....same with seafood. When adding sausage or andouille, it is recommended to go a few shades darker to compliment the flavors with the smoke.
As far as making a roux, you can run the heat med.-high as long as the roux is light and it is simmering,vaporizing water within the flour. But as soon as that finishes, you need to lower the heat because there is no water vapor removing heat from the pot and you are now frying. Watch and stir continuously.. There will come a point where the roux will 'clump' together and not flow when you stir. At that point, you have a medium brown roux. If you place an old tarnished penny next to the pot, when the color matches, you have a dark brown roux. Shut the fire...and either keep stirring as the pot cools for a about 5 minutes, then cover and let cool completely; or add onions to cool the pot if you will use the roux immediately. Can relight the fire after the intense heat has reduced and finish the gumbo.
Point of note, letting a dark brown roux sit and cool will create the Dark brown Cajun roux. This stuff is as dark as dark chocolate but is not burnt...it is nutty and very complex with a slight bitterness which will fade once it is cooked into the gumbo or gravy. The depth can't be matched by any other roux.