That URL there is not the GIF file itself. That URL points to a web page that displays the file when you visit the page in a web browser. But to embed an image in a Lemmy comment, you need to refrerence the actual image file itself.
Notice that the end of the URL below actually is .gif. That is a URL to the actual GIF file itself, not a URL to a web page.
This is the most direct link I could find to that GIF, which just looks big and unwieldy, but does seem to display here alright:
