It looks like you made a lot of progress! Two clarificatory notes:

* When building a tileset, it's important that the first color in the palette be 0,0,0, but .j2a files do not care about that. You can use whatever palette you like.
* Jazz Sprite Dynamite can be used to edit anims.j2a, yes, but I wouldn't suggest doing that unless maybe if you truly intend to change a significant percent of the sprites in the game. Anims.j2a is an enormous file, in part because it includes almost all the game's sound effects, and it was not made to be distributed. Smaller, specific case .j2a files are to be preferred.

The reason there's no ANIM::LIVES is because unlike Jazz or Spaz, there's only a single animation for the 1up pickup, so it doesn't need its own animset. It's in the ANIM::PICKUPS set instead. In fact, the 1up pickup is literally the subject of the examples provided in the jjANIMSET documentation.

So, assuming you've loaded an animation that you want to use for 1up pickups from a custom .j2a set, you'll want to write something like
or
or