HTC have tended to use their own contact system on top of stock Android (linking contacts together, pulling photos from various sources). However, this data extra isn't saved to your Google contacts (except for some META data in contact notes).
I'm assuming that Wear gets its info from your Gmail contact details, so you need to have photos stored in there. I'm guessing slightly here, but when I moved from an HTC One to a Nexus 5 it was the largest sacrifice of leaving HTC. I had to manually add photos to all of my Google contacts (although there are some desktop utilities that can do it for you).
In short, if a contact is a Google+ Member, it will use that photo, otherwise it will use the photo stored in your Gmail account's contact entry (I think).
I know it's a pain, but the desktop utility I used asked for my Facebook login, Gmail login and then listed all of my contacts on both. I could link them together, press go and it pulled all of the Facebook photos and stored them with the Google account.
You only really have to do it once, and once it's done it's done. The plus side is that you can choose what photos you use for people, and you're not confused if you've got a friend that changes their profile pic several times a day.
You could do it manually on the desktop by logging into Gmail, selecting the contacts section, opening a Contact and adding a photo. I needed to do this for a couple, since their FB profile pics were too weird.
I'm guessing bits here, but I think I'm fairly spot on. Others may have quicker/easier ways of doing this, but I can dig out the app if you like. If this doesn't make sense, let me know since I'm typing in a hurry. I did like the Account merging facilities in HTC.
