I just tested importing a file (or more correctly, updating an audio file externally and re-importing the changes using Auto Import) with a folder.gif file next to the FLAC audio file, and MC used it. But it didn't put the GIF inside the audio file of course.
Internally MC only saves JPG files "Inside File" for Cover Art. So using the above method to add a Cover Art file in GIF format will continue to point to the external file.
If you use the "Add from file" or "Quick find Cover Art" for GIF or other formats, MC will save the image inside the file if that setting is active, but it will convert the image to a JPG first. You can see the image tag initially will refer to the GIF file, but when you refresh the View the image tag will show "Inside File". Then if you run "Save Cover Art to external Location", MC saves a JPG file, named correctly as "[Artist] - [Album].jpg".
If you have "Also store image in file's tag" turned off, MC will continue to reference the external GIF file.
If you drop a correctly named GIF file next to an audio file, MC will not use it as Cover Art until the audio file needs an update, even if you run Auto Import. That is why I edited a tag in my test audio file externally to MC, which forces MC to update it and look for Cover Art.
So I don't think there is a bug. It is working as designed for me.
Support for animated GIFs as Cover Art has been asked for before, and I'm pretty sure the answer was, "that would be hard", because most Cover Art images shown in MC are actually Thumbnails from the Thumbnail database, and not the original GIF file. Thumbnails are JPG files.
I guess it might be possible to show an animated GIF when MC is using the full size original GIF file, such as in Cover View, But it hard to know when MC is using the original file, and not a resized version. I leave that to the developers to comment, if they wish.
PS: Sorry for clogging up this thread Jim.