Why does my friend's profile picture on Facebook Messenger show him chatting with himself?

[AC Question]

The other day, my friend and I were chatting on Messenger and he sent me a picture that he screen shot from his tablet. The picture also showed who he was chatting with on Messenger. One of the profile pictures that was shown was the one that he uses. This was the first time that I have seen the person's profile picture that I'm talking to pop up as if he is chatting with himself. What are some reasons or cases for this? Could he have another account (I looked on his friends list and this profile picture doesn't show up)? I'm just worried that he has a secret profile that he might get into some trouble over. Thanks for all of your help.