Same problem here but there is a workaround... It's the app/website/viewer you use. I'm on Android, and the official app does this too but I've just downloaded a few others to test. I think they call this functionality deep linking. Basically the app goes and follows the link for you.

On Android the Connect app works. I used Boost before leaving reddit and am signed up on that waiting list.

What are you using to view Lemmy?

on Android I use Liftoff and it can load Redgifs in the feed. The problem it has is that you cannot make them full screen, but I hope they add that option soon

Are you viewing them here, on pornlemmy, or other instances?

On iOS, Liftoff app plays the videos in the feed. It’s not perfect (no scrolling, loading times etc) but it’s the least worse experience.