Update as of 12/11/2013
The latest Lync update (Lync Client CU3 (November Update)) has the option to set a photo added back to the GUI.
Article with explanations and screenshots can be found here: Lync Client CU3 (November Update) – Show a picture from a website!.
Original Answer
This question comes up more often. It's indeed just a user interface change between the Lync 2010 and 2013 clients, the option to set an image URL has been removed. Underwater this option is still available though, and you can publish a Photo URL to the server from a user endpoint, or from a powershell admin screen as posted in GodEater's answer.
I answered with a description on how to publish photos using a user endpoint (wheter from client SDK or UCMA) here: Display User Picture in Lync 2013