Can confirm that the ANDROID bootanimation works fine.
Use Android flasher to flash it to your Desire, BUT you need to change the path it is flashed to. BTW ignore the error message, it HAS replaced the bootanim anyway.......
In CM7 RC2 it is stored in /system/media.
You could also do it manually using something like ROOT EXPLORER, just ensure that you change to R/W to copy the file and then back to R/O once you have done.