You did not understand properly what they told you, proof of it being the folks who already replied above that MSFS works for them, and I’m not even going to mention the YT videos showing it working and the many other people on this forum and on the iRacing forum that have it working.
Pico doesn’t have their own native OpenXR runtime, however the headset can be used through Virtual Desktop, which can in turn be used via OpenXR for SteamVR.
You need to install and configure Virtual Desktop in Steam to connect to your Pico, then toggle to OpenXR for SteamVR (the link I shared above). It doesnt matter that your game is bought from MS store and not added to your Steam library. This isn’t how OpenXR works. This wasn’t even how OpenVR worked either.
Not sure what step you are missing, but it’s 100% an issue on your end.