It's been a known issue for most. I'd call HTC and ask them about it. Even rooted, it still doensn't work for me. The solution is "SyncMyPix"

 

Try manually re-syncing "Facebook for HTC Sense". It could take up to an hour and a half before it finishes pulling in all the photos and the full list of friends. To check its progress, go to People>menu>View and see if the number next to "Facebook" increases every few minutes. When it finally reaches your total number of friends, the rest of the photos should start appearing.