Like The E said, PCX doesn't support transparency. FreeSpace only reads pure green as transparent (thus converting the 256 colour image into 255 colours and one transparent colour). It's all a game engine hack rather than true transparency in the PCX file itself.
ANIBUILD probably rejects your PCX files because they don't have the same palette. That's the most likely reason, anyway.
You need a way to convert all the frames to same indexed palette, then save as PCX, and then you can convert them to ANI.
Bright Texture Converter is probably the easiest way to batch convert a group of frames to make a CBAni or tech ani.
HUD animations require a specific palette that is easiest to copy from another HUD ani, then apply that palette to each of the frames.
And by the way I don't remember ever installing a PCX plugin for GIMP... I thought it has native support for the format.