Medieval Keys tended to look like picks and Medieval Locks were mostly of the ward type, where the key has a specific configuration to fit the wards. Those locks are of course made by hand by Locksmiths who probably know their own designs and know who they sold the key to.
Its likely that the relevant laws would be about protecting the ward and key patterns of Master Locksmiths rather than outlawing lock picks, the Watch would be suspicious if someone was carrying around a set of lock picks to doorsa that they did not have permission to access
I know in modern legal codes while lockpicks are not illegal per se possessing any item for the purpose of commiting a crime is