I'm fairly new to GameSpace, only been at it for about 8 months, but you can definitely export the .X animation. If you try to bring the object back into GameSpace again and expect to see a skeleton -- that's where I had probs. Maybe that's the "unsupported" part you ran into?
What I do is save two copies of the model:
1. The Caligari .COB format preserves the skeleton, skin, everything exactly as it was when I'm satisfied with the model and animation. Later I bring this version back into GameSpace again and change it with the IK animation tools. GS picks up right where I left off, no problems.
2. A .X version (don't forget to tick the "export animation" option in the .X options dialogue or you'll be cursing a blue streak!). The animations play back just fine in DBP when you do this -- just don't re-import the .X version into GameSpace and expect to see the skeleton -- use the .COB version for that.
At least, that's what I've learned so far.