Yes, the third ceremonial item can be in the locked chest, though usually Josephine drops it.
Did you move your mouse cursor around behind the stairs or the southern walls where she could have dropped the staff, where the alt key would not help you find it?
The procedure for swapping inventory files to get items is described in the post;
Lost Items - guide and directory of inventory filesIf you want to bump up your Lockpick skill, you can use
iZakaroN's SaveEditor (or from
Kiya's site, with description).
