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I know I pick-pocketed something of very high value and it didn't count towards my Bedlam job. I think for these jobs pick-pocketing doesn't count. IDK why, but I've never had a problem with a bedlam job.
Pickpocketing doesnt count for bedlam jobs, you need to steal from houses and shops. My best advice is to do this at night whilst they are locked as I had the same problem in Whiterun but it only counted the stuff stolen from behind locked doors (this was
different from other cities). One tip is to go for potions as you can clear out one place quickly for the quest to complete, i did a few shrines and it worked well.