This is because of PowerPoint's API and how OpenLP interprets your actions with regard to PowerPoint and your presentation.
When you click on a slide, OpenLP issues a Go To Slide command to PowerPoint. This is because you could have had any other slide already selected, and now you want this one active.
When you click the down arrow, OpenLP knows that you simply want to advance to the next item and issues the "next" command to PowerPoint. PowerPoint in turn advances to the next animation rather than the next slide.
OpenLP has no knowledge of animations within your presentation, so OpenLP has no way of knowing if PowerPoint will advance to the next slide or the next animation when it issues the "next" command. It would be pretty silly if you clicked a slide in OpenLP and it advanced on to the following slide.
Having said this, your point is entirely valid, and there may be a way to work around the limitations I have mentioned. I cannot say for certain though, I didn't write the PowerPoint integration and am not completely familiar with it.