Quick workaround...
I have had this annoying issue with my HTC Sensation since I got it. Also, Facebook pictures don't look exactly right eather on my phone. A bit pixelated. I guess that the resolution at which that Caller ID placeholder is showned on my higher resolution screen is a bit higher than Facebook profile pictures.
Ok, so I've made some digging around this problem and it seems that it's Google related. They resize your cropped contact picture to a generic 95x95 px thumbnail for storage on their servers. Hopefully, now that Android 4.0 Ice Screen Sandwich is soon to be released and from what they showed at the presentation, they are going for large contact icons. So it should be fixed soon.
The only easy work around this one would be to stop syncing your contacts to Google and Facebook if you want to completely custumize what contact picture you see. After you've got all your contacts synced of course, disable the above mentioned and then replace the images with your own.
And not to forget this... For you to be able to choose what get's synced, you have to have Auto-Sync enabled. I don't think this is a Sense related setting.
Of course, this is not a permanent fix to the problem, because as soon as you need to sync contact information again for whatever reason, all your work will be in vain. So, if you are not lazy

you should go ahead and make a Phone contact for each person you want to change tu picture and then link them to Google/Facebook.