That option used to be called “Animated GIF” import, however we changed it because it now supports importing animated WEBP files as well. The distinction we make between animated image formats and videos is that only the latter supports audio tracks. There are also technical differences behind-the-scenes on how animated images are imported vs videos.
You can usually find out what formats can be opened/imported by trying it out. The file selector dialog that comes up should list somewhere which file extensions are supported. I don’t know exactly where this is on Windows, but on Linux it usually looks something like this:
