Since InDesign isn't a Web application, it's not surprising that it can't export to GIF. You should save as JPEG (or PNG in CS6) and do that in Photoshop.
But then in photoshop you dont have the same options as InDesign on how you want a certain image to present - Fade in (similar to Keynote settings) so you get a smoother travel from A to B if that makes sense? Why did they introduce the animation option if users cant use it as a gif?
The Animation panel was designed for creating SWF animations not web animations.