It's fine to have things be mysterious. But once you begin establishing a rule, you should still stick to that rule. They've shown faces being lifted from corpses to add to the wall. They're not just decorative, the beginning of that Arya clip shows her returning the one she used to its spot on the wall. Every time Jaqen has changed his face they've shown him physically remove it (as in lifting his hand to his face, it doesn't just morph).
How do they make the masks work? Who knows, they've haven't shown that and it's fine. There's clearly some magic behind it, and to dispute Astro's shit, it clearly affects your entire body, hence the black guy costume. If they start showing scenes that illustrate how these masks are created beyond face removal, then those would be rules they should stick to as well, or it gets even dumber.