If I am using the data sources "Events-Any" or "Events-Change" and set the "Fill Data Gaps With Last Available Info" then IndigoPlotD does not fill those gaps with last known data.
It works fine for Average as the data source.
Here is a screenshot where the orange line is "Events-Change" while the red line is "Average":
As you can see above the orange line has a line drawn from the last known data point to the new datapoint instead of having the data in-between filled with last known data.