How do I set an animated GIF as my desktop wallpaper?
You can use Mojave's dynamic wallpaper. macOS doesn't natively support animated GIFs as wallpapers.

However you can use this https://lifehacker.com/set-an-animated-gif-as-your-macs-wallpaper-1756859302
but at the cost of a shorter battery life for a wallpaper that you probably wouldn't see in action because you got windows all over.

Your case is more like needing a really thin phone(GIF) which you are gonna cover with a case(windows) anyways.