After Effects handles GIF files through a Quicktime importer. Because of this, the ability to import as sequence is not available as it is for other file formats. Also, the Quicktime importer sees GIF files as "movies" and tries to preserve the existiing animation frames in a given GIF file, rather than import numbered GIFs as sequences.
You can use Photoshop's batch processor (File > Automate > Batch) or a number of other utilities to quickly convert your GIF files to PNG or any other format you may want.
Note that GIFs work in indexed color mode, with a palette of up to 256 colors. If you consider that for many AE users a range of 16.7 million of colors as normally used in 8 bit per channel processing is not enough and choose to use billions or trillions of colors, then you can see why bringing GIFs is a convenient feature but hardly top priority. Remember that in After Effects, the source files don't have any relationship with how the output file is produced. You could export a GIF animation regardless of the source format you used.
As pointed out, GIF is a legacy format. when working with AE, there is no reason to use it at all. In case you haven't Photoshop, try an image viewer with built-in batch processing such as XnView. This will easily allow you to convert to PNG, TIFF or any otehr format you desire.
There are artistic reasons to use gif. I am working on a piece that intentionally pre processes with the gif encoder to get the signature gif patterned dithering and color reduction. It's not a huge deal to convert them back to another format, but I wrote a script to run all of my frames from maya through a gif encoder with certain settings, and it would be cool to just import them as a sequence as gif. I'm sure that's not a common use case, but I mean why not allow it.
If you batch convert your gifts to JPEG's or PNG's they will still look like gifts. Then everything should work just fine.