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So I just started doing the first assignment of miller Pesheck. He asks me to nab a ring. I "fail" to do that, return to him and enter a dialogue. During that dialogue there are a few questions regarding lockpicking and I don't pick them because there are a few other things I want to ask first...

... and then those options disappear. Did I miss out on a few easy EXP points / training added to my lockpicking stat? I sort of like the idea of early and easy lockpicking boosts and I haven't gone too far beyond that point yet.

Should I reload an earlier save and ask about lockpicking? Do I get some free EXP if I do? Would love to know!
This question / problem has been solved by Micromegasimage
If you ask about lockpicking he gives you 10 lockpicks and lets you try on one of his chests. Nothing unmissable but 10 free lockpicks are a nice head start considering their price.

Later on he'll even teach you about pickpocketing but in that case I believe it is necessary to use the skill in the first place, so you don't want to miss it (if it's even possible to miss it at all).