This seems to work for me at least...
Change to the desired picture.
Close Yahoo messenger and look in your Library Folder (On Lion you must hold down Option when you visit the Go menu in Finder to see it). Inside Library, go to Caches then go to com.yahoo.messenger3 and delete the Cache.db file.
Reopen Messenger and your new picture should show.
You may need to redo this again if you change picture and it won't cooperate.
For me, the login pictue I see when signing in is still wrong but the picture in Messenger is ok.