Looking over the raws, I think I may see why pick-axes are the most effective, and why steel seems to be the best.
First off, picks have a contact area of 100. Compare this to an axe, which is 40,000, and the pick is much more similar to a spear with a contact area of 20(on a stab).
Second, penetration for the axe is 6000, while the pick is 4000. This may seem like the axe is better, but when taking in to account
the contact area, axes will have a much harder time piercing harder materials since there is more contact space it needs to break
through.
Finally, we have the velocity, and I think this final part is what gives picks their major edge. An axe's velocity is 1.25, so heavier
materials help, but a sharp edge is more important, making addy axes better. With a pick though, velocity is 2.0, same as a
warhammer. This means weight matters! But since a pick is an edged attack and not blunt, sharpness also matters, hence we
end up with the balanced option of steel being the best pick.
As an aside that has nothing to do with the topic of what is better in DF, I don't think you saw tons of picks on the battlefield, they are great for chipping away stone, but they would have a high tendency to get lodged in your opponent in a way that would be very difficult to remove, and while 1 on 1, you get the other guy, good. In mass conflict, losing your weapon after dropping one
guy really doesn't bode well for your survival. So if it was difficult to unstick a pick after getting it lodged. But it isn't, so pickaxes for everyone!
[Edited for typo on contact edges]