I was having the same problem. First make sure that you have each contact linked together everywhere you have them in your phone (both Facebook and Facebook for HTC sense, twitter, phone, etc...). You can easily do this from the text message where the name is not showing up by holding your finger where there picture should be and then selecting 'View.' After that there is a two link chain in the upper right. Press that to link all contacts together even if they have different names on Facebook than on your phone.
I had all that done, but was still not getting all my contacts names and pictures to display. Then I went into the Task Manager, which can be found in your app menu. Killed everything, but probably just needed to kill the messages app that was running. As soon as I restarted the messages app everyone's names and pictures were showing.
Hope this helps, as it was very frustrating for me as well!!