Hi,

Will the failsafe mode (return to home) be activated when the connection is lost and my Vision 2 + is in Naza mode?

I think it depends on other factors (the position of the right switch - if in GPS mode, ATTI or manual), what's configured in the NAZA software itself and if you have good GPS reception.
But the general answer is yes, RTH will be activated if you were in GPS mode and the transmitter connection is lost.

Correction to above; it does not matter what your switches are set to, when controller connection is lost it will execute a RTH.

What does matter is if you have sufficient GPS satellite locks, not switches.  If you are flying waypoints then it will not RTH when it looses communications since waypoints represent a pre-programmed flight path and don't rely on the controller once the flight begins.