ONLY in the case where you have intentionally created your character that one of the five major aspects of their personality is that they WOULD PICK THAT LOCK. So let's break that down. In the corner case where you are out of Fate points, your GM can, if they wish, require you to act on a character's flaw that you have said is one of their defining characteristics.
Just to chime in here. To be out of Fate points means either:
a) you've been spamming invokes of aspects too much....unless the GM has been setting difficulties too high or completely ignoring compels, this likely means that you aren't playing to your stated strengths.
b) you've been buying off compels, so not playing to your chosen aspects.
c) your character is totally uninteresting to the GM and other players, and thus "un-compellable" (can you hear the English language groaning?).
Additionally...re: picking the lock.
Why? I mean, a compel isn't there to boss you around, its there to make the story more interesting. A Fate GM who has any sense of what they are supposed to be doing doesn't just say "HA! You're an
inveterate thief you pick the lock! Like it or not!"
If the GM is going to compel such an aspect, it has to move the story forward in an interesting way...that is, it has to complicate the situation. That's why you can use compels to start in media res! So, if the GM is going to compel you to steal something...heck, that can happen totally "offscreen":
GM: So you're leaving the Duke's woodland house after successfully returning his favorite horse.
Player 1: Thank heavens that's over. Never saw a grown man weep over his horse, before.
GM: (Holds up a Fate point) Y'know, Player 2, you've got
Sticky Fingers right?
Player 2: umm....yeah (looks skeptically at the GM)
GM: There was a lot of shiny cool stuff in that office, the Duke probably won't miss it if you just took one little thing...
Player 2: Like what?
GM: I'll let you tell me..(wags Fate point in the air)
Player 2: Deal....I got oh....ummm....A little wooden box with gold inlays, haven't opened it yet.
GM: great! (tosses the Fate point over) The alarms start ringing just as you step into the street.
Its kinda like the beginning of Guardians of the Galaxy 2, when Rocket takes those battery thingamajigs. That's what a good compel is about.
Naturally, not all compels will be equally exciting, but that's what you're shooting for. Can the GM use compels to beat up on the PCs...yup. But that's not a problem if he's doing it in an interesting way. If he's not, then he's not doing his job.