Hey! Sorry for the late reply, first of all. Second, thank you for the kind words and enthusiasm!
Hmm. So actually baking animation into sprite frames would be, oof, a non-trivial amount of work. And it'd be inefficient in terms of texture memory, to say the least.
(I do believe I provide the windmill with a separate sail layer though?)
For glitters and smoke and things: this is actually really easy in most engines - just use particles! Or for simpler effects, even very simple glow sprites which don't even require a particle system would work, maybe with a simple script to fade in and out. You could do gleaming minerals, and glowing windows and forges.
But yeah, I think the correct answer here is to look into your engine's particle system and play around a bit.