You don't need to become a bandit, or help them. It doesn't matter which side you choose when you encounter the ambush; I was actually hoping to be able to tell Ragnar I helped the traders, but the response available, while true, was vague enough he assumes you were merely unsuccessful in helping the bandits.
Even if you agree to kill Saul, you can change your mind after speaking to him. IMO it is better to trade Arben's Sword for the chalice.
Lockpick is very useful, and having level 2 in Broken Valley village allows you to get a skill book, so that takes care of one of the levels. It's not like skill points are that scarce that you'd need to pass up on loot.
