It's not possible to unload individual animations.
If you have animations for 10 different fighters all in one sprite, but only 2 fighters can be on the layout at the same time - then you are wasting 80% of image memory. In this case yes, you need to split this sprite into 10 different sprites.
You can use the same approach to split animations by fighting style, but only if one style can be active at a time. Otherwise, loading a sprite with the required animation during the fight may cause a noticeable lag.