The standard PSP (1000/2000/3000/Go) does not support animated/moving themes natively. The XMB only displays static .ptf theme files (background image + icon set + sound).
PS Vita / PS3 / PS4 / PS5 support dynamic/animated themes officially. PSP Go has Bluetooth but same theme limits.
If you want animated themes on original hardware, CFW + .ctf themes is the only way.