I’m 99% sure Pico does not have a native OpenXR runtime on PC, and therefore you need to use the SteamVR OpenXR runtime. No need to touch the registry:
If your settings are already correct, the button set Set SteamVR as OpenXR runtime will not appear, and the Current OpenXR Runtime field will show “SteamVR”.
You will need to have Pico SteamVR support installed, which I believe is called “Pico Link” in the store.