Hrm. It’s not an Officially Supported Feature™, but the status GIFs on our internal dashboard appear to work just fine 
Just a thought: Did you upload the image via the Upload button in the Image component’s source attribute? Because that autoconverts to JPEG to save space. You might want to try uploading the GIF as an asset, and setting the Image’s source to something like _/theme/my-file.gif…