No, you need to set animation frame to 0, load first image, wait for it to complete loading, then set animation frame to 1, load next image, wait etc..
It may be a long process if you have many frames, so in this case it's easier and faster to put multiple instances of the sprite on the layout. Say, if you have 10 frames, put 10 sprites on the layout, set each of them to different frame, then load images into each sprite all at once, for example:
For each sprite
-> Sprite load image from url = "https://www.myserver.com/image_" & sprite.AnimationFrame & ".png"