Actually I don't think lock picking is that important before really end-game. Sure if u can spare the points thats not bad, but you can always find the best gear either in shops (legendery items) or by killing bosses (which you don't need lock picking for). You only need lock picking for the sets, but your only going to hunt for those sets very very late in the game, so you can just unlearn your skills to take lockpicking and tahts it. Just unlearn and put 5 points into it (I don't know if the locked chests of the set are lower then 5, but I doubt it).
Its much easier to use this map
http://guides.gamepressure.com/divinityiiegodraconis/guide.asp?ID=8195 with all the place of the set marked on your map. I think 3-2 of those are inside locked chests.