It looks to me like they are simply high resolution sprites with lots of animation frames, though I don't think it is as exaggerated as 30 images per second. But it wouldn't be like a 4 frame walk cycle either most likely.
I don't see many indie games on this scale, unless they have a dedicated artist, or even more than one. Even a game that is much smaller will still need plenty of pixel art, and at that high of resolution pixel art takes lots of time.
As far as inputting those into the game's resources, I'd say it depends on the game engine. For example, Gamemaker Studio has a concept of texture pages, and the things that should be put together you put into these groups. It is similar to tile sheets, except that more than one actual texture can be in the same group, and they get loaded all at once into texture(video) RAM. When changing levels, you call a function to clear the textures and then load in the new ones as you draw things. If you make your own engine, you will probably want to do something similar, and then I'm sure any optimized 2d engine will do something like this, or allow you to do it yourself. It may seem like these textures are huge and take up space, but offline space is really not much of an issue anymore except for online only games, as even mobile games can be a few GB anymore. And you don't have to have all of that loaded into memory at any time, rather only the stuff you need to actually draw at the moment. In reality, this applies to everything, including objects, sounds, music, well....everything. It is part of the general optimization you would do to make a game run fast enough.