Re: PIE on Secure (https) pages not working.
The only issue I'm aware of related to HTTPS is a "secure and nonsecure" warning generated by IE6; see viewtopic.php?f=3&t=128&p=494
-- but your description sounds more generic. As long as both the HTML page and PIE.htc are served from the same https domain there should not be a problem.
I'm not sure why it was suggested to you, but I would not recommend putting PIE.htc in every directory. While it would technically work and allow a stylesheet-relative path, it would be bad for performance because the browser would not be able to use a single cached copy, instead downloading the file again and again for every unique directory.
Perhaps you can explain your problem in more detail?