Needs to be a .gif, not a .jpeg. JPEG's have no inherent support to be animated. If you ever see an animated JPEG them someone just changed the file extension by hand and 99% of browsers can identify the image format regardless of this, hence why you sometimes see animated JPEG's online. They're just GIFs.
So I'm not sure what you're doing, but it'll probably need to be a GIF you upload if you want it animated.
I know that animated JPGs are just renamed GIFs. The thing is that XenForo does not support gifs, so the idea is that you trick it into thinking it is actually a JPG. However, it doesn't work really. But yeah, I'm not an idiot.