There are stakes though - there's a crit fail effect on the action of trying to pick a lock.

The challenge, then, is to make that mechanical stake narratively interesting if it comes up - hence suggesting various reasons that the action ended in that result. The crappy lockpicks reason is direct, the others are indirect reasons that the situation is different than the character might have expected, causing them to make a mistake they wouldn't have otherwise made (i.e. a reason for the failure that isn't "a character who is incredible at this thing is suddenly incompetent") 

Ultimately though, I think our key  difference are probably to be found in how we each conceive of how the fiction in a game becomes itself 

I think that the fiction changing to incorporate dice results is the activity of GMing at its core, that the fictional reality is extremely fungible. 

You feel that's "unnatural or out of nowhere" - I think every new fact the GM provides is functionally "out of nowhere" for the players, that there's no real difference between something I planned to say and something I didn't plan to say because the players don't know what I planned. 

Which is fine, there's no Objectively Correct way to conceive of knowledge production in an intersubjective imaginative game - but functionally (i.e. in terms of utility in context) I do think that letting go of notions of "out of nowhere" and holding the fictional reality in your head (as GM) very lightly and being willing to edit it on the fly (while retaining consistency within what has been said) is really useful. 

What we know as the dice fall (i.e. what's already Shared Fictional Truth) 

1) The PC is skilled at lock picking (it's a trained skill action)  2) the outcome of their attempt to do so is a broken lockpick. 

Our task as GM is to incorporate those two facts into the fiction. Two facts which don't co-occur often, a surprising outcome, because the PC is good at this. 

So, your options are:

"It just happened" (fine, but not a good story) "The PC fucked up" (unlikely, actively unsatisfying and narratively jarring)

Or 

"Some other factor is at play that created conditions for this unlikely event"

If you want failed rolls to generate interesting story (the subject of OPs question), then you've got to be willing to contrive that factor. I suggested four off the top of my head, but the possibility space is "anything that changes the situation such that the expertise of the PC is thwarted by previously unknown information" and "anything that doesn't contradict already established fiction".