I'm hoping this is just a bug on Facebook's end that will be fixed soon, but in my Facebook Connect app I'm launching the dialogue FB provides to make a post. This dialogue is launched on a page with an SSL connection. In this dialogue the profile pic for some users comes up with a security warning while others display correctly. I'm already setup to use Facebook's SSL javascript file instead of the HTTP file.
Also check whether you are serving the xd_receiver
under ssl. The debugging hint at the bottom of this page can help you find if there are requests going to facebook other than the pictures which might not be SSL, thus confusing their determination of whether the page is under ssl: http://wiki.developers.facebook.com/index.php/Facebook_Connect_Via_SSL
I would use fiddler and see if there are other requests going to facebook which are not ssl, that will probably give you an indication of what is being missed, or if it is a bug.
This is a bug at Facebook, but there's a work-around. When you use Facebook Connect to show a profile pic, you must set facebook-logo="false" on the fb:profile-pic FBML tag. (Note: the default is "true"). If you do this, and follow the instructions at facebook for using ssl, then the profile pic will be served using the correct protocol. If you leave it set to "true", then you always get the profile pics over http.
The bug is reported at http://bugs.developers.facebook.com/ as issue 5507 and possibly 7072 and 8485.