I just tried setting an animated avatar (GIF) on my install of XenForo and here is what happened:
The .gif is renamed (not converted) to .jpg and moved to data/avatars/l/0/1.jpg (still GIF internally)
The .gif is converted to JPG and resized into data/avatars/m/0/1.jpg and data/avatars/s/0/1.jpg
I would very much like to have animated GIF support for avatars in all sizes, but that would be a feature request. The bug here is that the file is renamed to .jpg when it clearly isn't one. I suppose you could open it using XenForo_Image_Abstract and just output it to the proper path as a real .jpg file.