No it is not working. Unfortunately .gif file sizes are rather "big". eGO has a limit to how big a file can be for an avatar and/or signature. I would recommend removing some frames and see if that fixes it.
Yes, there is a limit. Are you sure you downloaded the animated gif file, and not just a frame of the gif that you uploaded? Make sure the gif on your desktop is animated when you open it. If it is, it's just too big.