I tried using an animated gif in a theme some time ago - the theme did work, but it wasnt animated.
For some reason - perhaps something with batterytime ? - S//E has decided to program the software on the phone so that animated gifs will not be animated when used as wallpapers. It will just show the first picture of the animation. Nothing we can do about that really.
You thank him but not me! I see how it is. Hmph!