Well up until now, I barely built the project and run it because most of the time I was busy scripting editor stuff, but today I noticed that unity 5.x has an animated splash screen themselves, then I looked at the splash screen section on setting and it asks for an image !
so the question, is there anyway to do what unity did himself without going for 3rd party asset or using the solution of light weight scene for first scene for showing custom screens?
Well a splash screen is just a video, you can play it whenever you want.
I think people opt to use separate scene for the splash screen because it doesn’t interfere with their logic in the main scene. (also it loads faster that way)
But sure, you can have your script play the splash screen video and when it ends close it and initialize your main script.
you mean that is how Unity done his own? 
I was hopping to finally see animated gifs in unity 
oh well, thanks
Unity doesn’t support gif animations, but you can probably use sprite animation. I never used it myself, but I believe it just switches between multiple textures, which is the same thing as with gifs.
But it’s on the roadmap - so keep your idea ready for when it is supported.
Personally I don’t see the benefit of this, but there must be one.
The animated splash screen isn’t a video. It’s a 3d scene being redered in real time.
That’s also why it looks like pixelated crap I guess.
You could also have a screen with a video texture and do something like LoadLevelAdditiveAsync to load your main menu and initialize any global stuff while the video plays.