Only verified non-hardcore pictures can be set as preview. If your picture of choice is not verified yet, just move it in a public folder and it'll be verified within seconds.
Hardcore pictures can not be set as profile picture.
You can set your main profile picture by clicking on your profile picture (top-right) » 'Photo' » 'Photo Management' » select an album and click or tap the picture you’d like to to use as your main photo » click on ‘Set as Main Photo’, bottom right. On smaller screens, click or tap instead on the icon of a picture (bottom right).
Note: On smaller screens the 'profile picture' is replaced with the sidebar menu icon ☰.