You should the image files in your screenshot, but not the attachments. If your images path is set, then the attachments should be found:
Images - Spine User Guide: Image file lookup
Are all your attachments a frame-by-frame animation under the same slot? In that case then yes, you'd need to key the attachment visibility to make a frame-by-frame animation.
We have plans to improve that soon. Until then, you might try this script:
