Let's compare my .capx which is a bug cannot play animation while press down arrow.
Mine works perfectly fine. I have full-blown animations for each arrow key that is pressed. I am using the latest beta version, too.
Could someone show an example on how to properly set animations?
You need to change play from beginning in the set animation to play from current frame. I said that above. If you don't like the result of that, you need to put in checks to prevent it from continuously changing the animation, because it will never get the chance to play the animation.