I thought New Vegas did it best. It had the same minigame but each lock required a minimum skill level. The problem with Skyrim's system is that the character skill doesn't matter at all. Lockpicks are dirt cheap and opening doors is just a matter of playing hotter/colder (or, for those above the age of twelve, performing a binary search). If any build can pick any lock (except for the super special unpickable plot doors that are used to lock random cellars but not treasure vaults), what's the point of having a skill for it, apart from using the level scaling to pick on the type of people who thought swimming would be a good investment in Deus Ex?
Is it immersive to be able to pick every lock while playing as a barbarian who knows nothing about thieving? If you want to have a RP experience with Skyrim, you have to play the game with self-imposed rules.
Strictly speaking, I think this may be the definition of RP.
The implication of this argument is that any game that can be played with self-imposed restrictions is just as much and RPG as Skyrim. Outside of GM-less freeform, most people often expect some types of simulationist elements in RPGs, and this becomes especially important in single-player CRPGs, where the computer takes many of the roles that would often be delegated to the GM.
Also, my money's still on Valenwood, for the reasons that I mentioned when the previous kalpa of this thread was talking about the next location.