Mine works. I cant recall where it is but I think there was a setting to enable/disable the weather wallpaper.

The other thought is, do you have a task killer? because if you touch the screen or kill a task it will stop that weather wallpaper.

EDIT: should preface I am on the leaked version.

 

Do you have the slide lock screen disabled using an app like No Lock? Apps such as that, seem to kill the weather animation. It evidently depends on you to hit the slide to unlock screen.

Sense is still working, as it's what gives you your home screens.

 

Yeah, the weather animation seems to be dependant upon that lock screen. Anything that touches that seems to kill the weather animation. Not a big deal for me, as I use No Lock, but it may bother others.

 

Menu > Settings > Display > Animation - check All Animations

Check there first, also, I use No Lock, therefor I dont use the slider to unlock, and my animations work fine.

 

That's checked on mine, and animations don't work. If I disable No Lock, and use the slider screen, animations return.

 

Interesting, are you using the default clock/weather widget? I use Beautiful Widgets/toggles or w/e it is called exactly.

 

I'm using the default weather widget that comes with HTC Sense. That may indeed be the difference if you're using Beautiful Widgets.