On a Anaconda3 4.1.1 distribution on Windows 7 64bit I installed moviepy 0.2.2.11 by using
pip install moviepy
magick convert image.png image.gif
convert.exe indeed turned out to be the problem.
As mentioned in this conversation the windows installer has in fact an option to create legacy compments like the convert.exe.
Once I re-installed ImageMagick with the option ticked it worked right away. Apparently there is no need any more for fiddling with the config files during installation of moviepy on windows.
There is a tutorial on what steps to take to make moviepy work on windows including the installation of ImageMagick here. It does however not mention the option to install the legacy components.