Fragile tools.

A pick is a slightly more delicate tool than a hammer
Slightly ...
A 1kg veight, 2x2 cm thick brick of iron fixed on wood litteraly created to bash things with it ... is "slightly more delicate" than two milimeter stick with permanently stressed fold. O_o
I could see breaking one on occasion when you fail to pick a lock correctly (or if it's a fancy lock designed to destroy picks), but then you pull another pick out of your kit and get back to work. I own one set of lockpicks - not ten.
That is the problem ... picks usualy breaks when stressed, that means you can pick a lock sucessfully and feel like still having perfectly working pick ...
(and in reality you can be right, since they are much more durable theese days)
But then you try to pick another lock with the same tool and it will broke imediatly ... makes that lock unpickable, since that broken part stays inside.
That would be realistic as f***
And even more anoying ... imagine random number generator creating diceroll before every lockpick, with even incerased dificiulty with every sucesfull lockpick ... making any lock unpickable when failed.
You really think this would people concider to be fun? :-/
If so, then presume your lockpicker is aware of this danger and simply throw away every pick after use. :P
it forces us to think at least a little before act,
I have never felt like there is a risk of running out of them. And that has been your argument upthread.
It still is ...
1) there is enough of them ... conclusion: No reason to change anything.
2) to have them means gues how many you want to bring with you, concidering ballance between weight and readyness ... therefore they force you to think at least a little ... conclusion: No reason to change anything. :-/
Thus, there is effectively no cost to failing to pick a lock.
This is pure subjective ...
For some even the fact that they need to pick again, and again, and again is conciderable as "cost".
The only cost right now is the weight in our inventory, which is at best an annoyance for the player rather than an interesting trade-off for the character.
It certainly can be seen that way ...
I dont see much difference between counting with your picks compared to weight ... or counting your arrows (and therefore your weight) for certain characters in certain other games ... or counting with your spellslosts.
Its all just matter of preparation for adventure.
This is never a good reason to do something. When people say this, it generally means "I can't be bothered to try to make this better".
Its also not bad ...
People are doing things "as allways" for a reason ... and that reason usualy is that those things are working that way.
//edit:
But there is one thing about lockpicking that really confuses me, i presume its a bug ... but it seem to me like sucesfull lockpicking costs me one pick ... and unsucesfull costs me two picks. O_o