Seems that dude.fbx (at least dude_gpu.fbx) doesnt have more than one animation.
I tested my own ugly stickman with couple of animations and those works (texture doesnt show up, might be because of my model, havent checked it yet).
There is fork of Aether.Extras (animation testing) which contains modified animation sample and new solution which should work out of the box (on windows, linux and mac - only windows tested).
Old fork of XNAnimation library can be found at https://github.com/bosoni/XNAnimationMG
but it is a dead project.