Hi,
Some of the menu items in Messages refer to actions to other windows.
In this case the Change Picture refers to Buddy lists.
In Messages > Preferences > Accounts there are two accounts by default.
the iMessages and the Bonjour one.
Neither can be deleted (Highlight and use the - button at the bottom of the list).
The iMessages one can have you Sign Out so it has not Apple ID listed making it inactive.
The Bonjour one is normally unticked in the "Enable this Account" check box.
Enable the Bonjour one.
The Window Menu will now List "Buddies" (technically this is a combined list even if there is only one Account active)
Select this item to see the Buddy List.
Either use the Menu item now or click the current Buddy list pic.
This will offer you the options to change it.
If you don't change it the default is for it to be the one from your Address Card in Contacts app (Also known as the My Card)
In Mavericks the Recents will also show you the pics that have been used in the Login pic (System Preferences > User and groups > you account > Pic and the My Card in the Contacts App.
AS you can see in my Pic I have no Bonjour Buddies (other Macs on your LAN using iChat or Messages with the Bonjour account Active).
Using the Red close Button closes the even if it is Logged in (Enabled).
It will remember this across Application launch.
Your Buddy pic will now stay and the app will use it for iMessages now.
9:04 pm Wednesday; January 15, 2014
iMac 2.5Ghz 5i 2011 (Mavericks 10.9)
G4/1GhzDual MDD (Leopard 10.5.8)
MacBookPro 2Gb (Snow Leopard 10.6.8)
Mac OS X (10.6.8),
Couple of iPhones and an iPad