Yergius will sometimes not teach pickpocketing. I don't know if my refusing to buy lockpicks beforehand has something to do with it, but I can be of the correct alignment and he just tells me I need to get more practice (same as if I had the skill but hadn't applied it successfully enough). If there is a good reason why he isn't teaching it I think the game should proffer an explanation. I did wonder if he expects me to get practice with picking locks instead, but usually he will teach me pickpockets even if I have the lockpicking skill.