Never tried it.
Does he even have anything to pickpocket? I mean he can't be killed and won't attack so maybe he can't be pickpocketed.
He doesn't have anything, unless you've used him to respec then he has the 200g you paid him.
Normally, it's completely free to do so because he himself doesn't react to anything you do (Some people have used him as a target dummy to test out attacks). But camp can be buggy af...
