Yes right and this is not really difficult.
The first what you need is the Steam wallpaper engine.
My System is potent enough to handle 4 Monitors with animated wallpapers, you can select in the engine, wallpapers stop if you have anything in Fullscreen mode to save Ressources.
I tried with vlc Player to play a background Video a's wallpaper too and IT works.
Create an animated Video with After effects or any Apps.
This Video convert to h264.mp4
Create with steam wallpaper engine a New wallpaper and select the Video file. Set a's wall