Well, you are right and I am wrong. That little feature crept up on me since I don't use a lot of animated textures. 

Here's how to make it work: 

1. Import the the sequence at the point in your timeline you want the animation to start - this sets a key frame. 
2. move the timeline indicator in your time line where the animated texture should stop
3. Advance the little movie timeline control in the texture window to the end of the move - this will set a new key frame and engage the texture as a movie.

Thanks for bringing this to my attention!

Mark