How do I pick up these lock picks?
Solution 1:
The game limits you to holding 30 lockpicks at once. Elizabeth will still point them out to you. However, they won't have the "shimmer" effect of collectable items and you won't see the prompt to press a button to pick them up.
If you proceed further and use a lockpick, you should be able to backtrack and grab the ones that looked like scenery.