During my last two SharePoint installations I came across the same issue. When setting up the user profile synchronisation every property but the profile picture is nicely imported. When checking the user profiles, the ProfilePictureTimestamp is correctly set and it looks like the data is correctly synced. After a while of research I came across this Update-SPProfilePhotoStore cmdlet. I was setting up a new SharePoint installation and the MSDN documentation states that the cmdlet is only necessary when migrating from 2007 to 2013. Nevertheless I gave it a try and executed:
Update-SPProfilePhotoStore –CreateThumbnailsForImportedPhotos 1 -MySiteHostLocation
After this, all profile picture are correctly set. I am not sure what causes this behaviour and if the cmdlet has any side-effects for the future but it is a short term workaround. Did anyone experienced similar issues?