I'm a bit confused ...
OnStoryPickLock is not an SM Event ... It's an event you place in a Quest Script. http://www.creationkit.com/OnStoryPickLock_-_Quest
It is called (as in that event, on the Quest, will run) if the Quest is started from the Story Manager "Lock Pick" event: http://www.creationkit.com/Lock_Pick
As far as I know, the SM Lock Pick Event works ... Indeed, all SM Events work (but it can be a pain to get them setup correctly)
Thoughts:
1. Is your QUEST tagged to be started via Story Manager?
2. Are any conditions you placed on the SM Event being met? (Are you sure

)
3. If you think those are correct, have you turned on logging for papyrus? Is there anything related in your logfiles?
4. If you disable the SM Event, and script your quest to start another way (at game start ... or start it via the CONSOLE), does the quest run OK?