Pickpocket - target may move away while you are in the screen. It will be annoying to keep chasing him.
That's granted, and it would require an altogether different mechanic than the current "crouch and sneak behind somebody, click them, and time freezes and a pickpocket menu of their items pops up". It would require some work and a completely different mechanic, but it could be done.
Picklock - OK. Drowning may happen for the few underwater chest but generally not an issue.
Hadn't thought about underwater chests, but you could make the air-limit bar visible even while lockpicking, so the player would know if he was getting close to drowning and needed to just stop picking the lock and surface. Then they could get a breath and go back for another try. As others have said, real-time lockpicking would add back in that time-based element of risk, where you have to get the lock open before somebody sees you.
Magic/Item/Favorites - Bad. Favors warriors who just needs to hotkey health potions. Penalize mages who use multiple schools of magic or hybrids who use switches fighting style in combat. Poisoner playstyle made non-viable.
Why so? For one thing, I don't think warriors should be able to spam unlimited health potions even if they hotkey them. It's not just the menu-freezing-time aspect that needs to change, but also the silly exploits that the system allows, and spamming potions in the middle of a hand-to-hand fight against multiple enemies is one of them. Actually, in the sort of thing I'm thinking of, mages might well have it easier than characters dependent upon potions. Mages could change one hand to a Fast Heal spell, cast the spell, then change it back to their flame spell or whatever, while a warrior or thief that needs to use potions for healing would realistically only be able to have one or two on their belt - assuming they're small vials, anyway, and not large bottles - which would limit their ability to self-heal in combat compared to the mage.
In short, strategic combat is removed for action combat.
But Skyrim isn't a strategy game, it's got action combat, and TES has had action combat since the start, as far as I know. It's a real-time game with real-time combat, not turn-based combat where you can stop and think things over. It isn't Civilization, after all.