Earlier quoted context omitted.
In some I'm sure he does, but there are some videos of him receiving a sealed package and opening the package (and the lock inside) in a single take. Like this one: https://www.youtube.com/watch?v=NSuaUok-wTY
Who's to tell he didn't send the package to himself? I'm probably too cynic... I find it odd he hasn't ever found a lock that would defeat him (I didn't watch all his videos though).
That said, a good security system will have multiple (nested) zones and multiple controls to defeat in each zone - picking a lock by itself should not be enough to gain access, and you should not be able to get to the lock to begin with without being spotted or setting off alarms and triggering a police response.