Tried it with Mac OS (still on Snow Leopard) and Pico - works! :)
Here what I did as a test:
pico manager create
midi input create
pico midi light controller create
plumber hey midi input 1 to pico midi light controller 1 connect
plumber hey pico midi light controller 1 to pico keyboard 1 connect
Then I started Stage (make sure that you select the right EigenD instance when connecting - e.g. I saw two, one on localhost and one on my WIndows machine in the same network).
If you switch to the add widget mode the "pico midi light controller 1" should be listed in the "Browse Available Agents" list.
Now drag'n'drop the keys/key 1 entry into stage.
Switch to perform mode and turn the knob, Now you should see the light on the upper left key on the Pico change (0 = no light, 1 = green, 2 = orange, 3 = red)
Does this work for the Pico on your side? If yes then perhaps there is something specifically wrong with the Alpha agent otherwise there could be something different with your setup or the steps we perform are not the same.