Yes, playing an animated GIF in Image viewer or on the desktop in Vista was removed. The way it worked in XP was to use an "active desktop" or its derivative to execute the animation. The problem here is that it allowed scripts to be run and disguised as images, infecting a large number of systems. This was removed from Vista to close that massive security rist, and GIFs now open in Internet Explorer, or another browser by default, which have at least some protection against malicious scripts on their default settings.
Also, I really doubt it used to, since this was the functionality in 2006 when VIsta launched, and it still is today. Maybe you changed the default program for GIF files from IE to Image viewer, but didn't realize it. It seems that when the choice is between security and flying pig animations on the desktop, most people will choose the flying pig.