It is true that when you log in with a Microsoft account, you get a random icon as a profile picture. But I saw a friend change her. Does anyone know how this works?
Settings - → Profile → Manage Account
That's how it worked for me.
Otherwise download the Xbox app, log in there with your Microsoft data and then you can also change your profile picture.
well on nintendo switch you just have to press plus then press profile then youl be there