First, don't confuse "Facebook for HTC Sense" with the Facebook app.
I don't currently have a Sense ROM loaded, so can't check for sure, but I think you can. IIRC (and it's been a long time since I used Sense), when you share a photo from your gallery, you get two options: Facebook or Facebook for HTC Sense.
I think if you choose Facebook for HTC Sense, you get the option of tagging the photo BEFORE you upload. At least I think, and I don't think you can tag with the facebook app after you upload (this probably also means you need to have your phone set up to sync your facebook contacts/friends)
You might want to read this (see step 5):
HTC Desire HD - Sharing your photos and videos on the Web
Sharing photos or videos on Facebook
Important: You need to be logged in to your account to be able to upload photos or videos.
- From the Home screen, tap > Gallery.
- Tap the album that has the photos or videos you want to share.
- Tap and then tap Facebook for HTC Sense.
- Select the photos or videos you want to share and then tap Next.
- Enter a different caption on each photo or video. You can also tag friends on your photos. Tap Tag this photo, and then tap the part where your friend is. From the list that shows, select who you want to tag.
- Slide to the left to go to the next photo or video.
- Tap Upload.
- Select which album to upload to and set privacy settings for the uploaded photos or videos.
- Tap Done.