Just checked the TGifAnim myself - yes, the background is black. But the Color property of the component defaults to clDefault, and many components have issues with resolving this special color. Better to reset it to an RGB color (clWhite or clSilver), but clForm is working too (at least for me on Win10)
The other Gif component in OPM, GifViewer, works correctly out of the box (you must set AutoPlay to true to start the animation immedicatly after loading the file).