While this is a really cool idea, I'm not sure if the loading screen types we have will support animations. Even if you could replace the loading screen images (found in your FH>>Textures folder) with a GIF image, you would have to re-size it twice to fit the right dimensions of the actual loading screens, since each loading screen has two different resolutions (one full-screen, one mini-screen).
If you're savvy with image editing, as well as working with GIF re-sizing and everything, though, you may be able to do this by replacing the current loading screens with your preferred GIF images. However, I'm not sure if it'll work too well.
But, if you do try it out, you should let us know how it goes. ^^
