I do not receive any puzzle pieces. Why?

This likely means that you already have enough pieces to assemble a puzzle picture. Once you assemble the picture and claim your prize, you will receive access to a new one after some time and the pieces you need will start to show up in the game. 

You also cannot receive more pieces in case you have completed the picture and have an unclaimed reward for it. Once you redeem the reward and start a new picture, you will receive puzzle pieces for completing levels.