I believe you mean that photos you manually add to contacts stored in your Live account are not shown in your contacts online?
What you need to do first is make sure that the photos are associated with the contact entry on the Live account that you are looking at online. If the photo is associated with a contact stored in, for instance, Google, while it will display on your phone, it will not on the web.
Secondly, after you update your contacts on your phone, you need to make sure that it has performed a sync operation with the web. If you have your account synchronization settings set to only perform syncs at time intervals or manually, you will have to do a manual sync to update the contacts on the web. To do this you'll have to open up the email associated with the account and click the sync button. After it is done, you should see the photos on the web as well.
After getting on my own computer and checking my contacts page on the website, I can see for myself that the same problem described occurs for me. I take this to mean that Microsoft simply hasn't implemented this feature, yet. Which is a rather odd ommission. However, as Windows Phone is a relatively new phone OS, this sometimes happens.