That's not true. If you use java.awt.Toolkit to create an image of an
animated GIF, the image will automatically keep playing (if the GIF
specifies to repeat forever).

Demo:

import java.awt.BorderLayout;
import java.awt.Image;
import java.awt.Toolkit;
import java.io.IOException;
import java.net.URL;
import javax.swing.Icon;
import javax.swing.ImageIcon;
import javax.swing.JFrame;
import javax.swing.JLabel;
import javax.swing.JPanel;

public class AnimatedGIF {
   public static void main(String[] args) throws IOException {

      URL animgifURL = new URL(
      "http://upload.wikimedia.org/wikipedia/en/b/be/Mashimaro.gif");

      Image animgifImg =
         Toolkit.getDefaultToolkit().createImage(animgifURL);

      Icon animgifIco = new ImageIcon(animgifImg);

      JLabel animgifLbl = new JLabel();
      animgifLbl.setIcon(animgifIco);
      animgifLbl.setHorizontalAlignment(JLabel.CENTER);

      JLabel copyrightLbl = new JLabel();
      copyrightLbl.setText("An animation of Mashimaro");
      copyrightLbl.setHorizontalAlignment(JLabel.CENTER);

      JPanel jContentPane = new JPanel();
      jContentPane.setLayout(new BorderLayout());
      jContentPane.add(animgifLbl, BorderLayout.CENTER);
      jContentPane.add(copyrightLbl, BorderLayout.SOUTH);

      JFrame app = new JFrame();
      app.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
      app.setContentPane(jContentPane);
      app.pack();
      app.setLocationRelativeTo(null); // center on screen
      app.setTitle("Animated GIF");
      app.setVisible(true);
   }
}