What game do you play that you don't save (if/when you can) before doing something that could cost you an inconvenience. At the price of lockpicks you should be saving before using one.
Skyrim. At least, I don't save before attempting to pick a lock in that game.
Again, it's not black and white: I'm not saying you should never have to save for security—saving before a boss is always good, and even games with limited save locations will give you one before a boss—, but when you have to save-scum for something as minor as picking a lock, that's a problem. Even then, there are games which are balanced around you not being able to save, such as Dark Souls, and I think those are all the better for it. In a way, saving whenever you want is a game-breaking mechanic, so I think it's the minimum a game can do to not require that you abuse that mechanic in order to get through it, and moreover I respect games which outright remove that option and instead opt to balance themselves around the restriction of having limited/no saves (balance being, as always, the key word here).