From Microsoft:

Due to a bug in GDI+ (which returns the wrong number for how many times a animated GIF should repeat) animated GIF's loop one fewer times during PowerPoint 2003 slide show than the settings specified within the GIF file. Because of this, GIF's set to play once (not repeat) actually don't play at all (only show the first frame of the animatedd GIF), GIF's set to play twice (repeat once) only play once (don't repeat), and so on and so on.