2) Through Finder, go to Home>Library>Caches and delete anything related to Yahoo Messenger such as Yahoo! Messenger, com.yahoo.messenger3.
Note: Your previous profile images are stored in Yahoo! Messenger>Display Images in the above mentioned Caches.
3) Although maybe unnecessary, I suggest restarting your system.
4) After system restart, turn on messenger.
5) Select your profile image and it should now stick...