MIDI2LR always sends control values from the app to the plugin, and always sends back the actual set values from Lightroom, via the plugin, to the app.
When a controller can respond to receiving the actual set values (e.g., a motorized fader or a continuous knob), then the controller and Lightroom will remain in sync, and pickup mode doesn't have an affect (because pickup mode only makes a difference when the controller and Lightroom are out of sync with each other).
When a controller can't respond to receiving the actual set value (e.g., non-motorized fader, or a controller layer that is not currently active), then the controller may have a value that is significantly different from Lightroom's current value. This is where pickup mode matters.
What pickup mode does is this: if the value from the app received by the plugin is far from the value in Lightroom, it ignores the message from the app. So you'd have to move the control until it is near the Lightroom value before the plugin starts using the value.
If you don't have pickup mode enabled, the plugin always uses the value from the controller. This means that the initial movement of the controller value ignores the current value in Lightroom and may cause a significant unintended change in the Lightroom setting.