I have some experience with modding the logon screen and windows media center.
I have tried to add gifs to both programs with the proper resource type. Then I went and modified the the UIFiles and XAML files to properly know to look for a gif.
Bottom line. Not possible to add animated gifs. The most I got it to do was display the gif, but it was only the first frame of the animation. As I a programmer I know there are different ways to load images and it simply wont load an animated gif. For transparency it uses png or alpha bmps. To do ANY kind of animations (like in media center) you need to actually code it into the xaml/uifile files. That simply animates the pngs and bitmaps.
Im sure in order to load a gif, MS would actually have to code it to do so. Now a days the Windows UI doesnt even use gifs. It uses AVI files (like the one used when coping files). I recently read that the new Windows 7 start up animation (the flying orbs that turn into the ms flag) use static images that are chained together to create it. Something like 40 tiffs!
Sorry if I wrote a novel, but I know how you feel.