Correction, you're getting rewarded for trying. We learn by trying.
In this case, each time you fail you essentially learn not do it it quite like that,
Exactly. In my opinion, they even got the ratio correct for the Skill improvements.
When you successfully pick a lock, the bar jumps quite a bit, but is also regulated by the difficulty of the lock in question (i.e. a Master level lock will make the bar jump far more than an Apprentice level lock would).
When you fail and break the lockpick, the bar still goes up, but by only a fraction of what it does for a successful pick-job. This is a great way to measure how your character learns with picking locks as you don't learn as much when you get it wrong, but you do still learn.
Personally, I love this new lock-picking system much better than the one in Morrowind or Oblivion.