No, the first two points don't hold for any caster with Mage Hand.
Pickpocketing isn't just taking something from a pocket; it's a subtle skill which requires doing so unnoticed, after all. This is more than just "doing it while the victim's back is turned" - the human body registers slight touches and subtle sensations, like the weight of an object. A pickpocket knows how to beat these senses - by touching the victim in other places to confuse the senses, for example.
But the Mage Hand is implied to be clumsy, with limited dexterity - not conducive to stealth.
(Note that nothing in the Mage Hand description says that the hand has significant dexterity - it can "open an unlocked door", for example, or "pour the contents out of a vial", but apparently not manipulate lockpicks or disarm traps, which requires more precision. It's limited almost exactly to simple tasks that you don't have to practice.)
So it's not that the Mage Hand eliminates the normal skill check as such - instead, the rules as written do not contain a "normal" skill check for picking a pocket with a Mage Hand. (A standard thief can't pick locks with a Mage Hand either, even if they somehow have one.)
Most people can undo the buckle on a bag, or shoe. But can you do so so swiftly and subtly that the holder of the bag (or wearer of the shoe) doesn't even notice? Try it. It's not as easy as it sounds. It needs significantly more manual dexterity than just being able to undo a buckle - it's more like being able to play a piano.
Under the old-school skill system of 3e or 4e, the correct way to handle this would have been with a skill roll and an extremely hard DC - as GM, personally I'd have set the DC 10 or even 20 points higher than the usual for that kind of pickpocketing. The old skill system would then have allowed top-level characters to pull it off anyway.
But 5e discourages this "everything is technically possible with the right roll" approach, in favour of limiting skills to "actions anyone could attempt". "Pick a pocket with a magical force" isn't something anyone could attempt, and there's no obvious RAW reason why being able to pick pockets by the normal means would help you use a Mage Hand to do so.
(And it is typically next to impossible to pickpocket successfully with a fully visible, somewhat clumsy, disembodied hand. So even a disadvantage is not enough penalty - it should just be impossible.)
Legerdemain clearly gives the hand more dexterity, not just invisibility. This allows for more complex tasks.
Short answer
If the standard hand doesn't have enough manual dexterity to pick locks or disarm traps, it doesn't have enough for the equally tricky task of picking pockets.
You do not need to be able to see the Mage Hand to be able to use it, otherwise ATs wouldn't be able to make the hand go invisible. However, working around corners (or otherwise out of sight) would effectively impart the blinded condition to any action you were going for. As such, you wouldn't be able to interact with a target except by guessing which location it was in (unless you knew the target's location, and it was static (i.e. an unmoving object (keys hanging on an post) or a guard that's asleep in a chair)).
Nothing about the spell itself implies any sensory input gained from the hand, so unless you can see what's going on to direct it, it's going to be pretty difficult to use. As a caveat to that, however: ATs can make the hand go invisible... therefore, they have to be able to at least "feel" where it's at.
If the door was simply a one-way door that didn't actually require a key, I'd say (unless you rule that the handle requires more than 10 lbs of pressure to activate) that it would work if she could get the hand into the room.
If she was suggesting picking the lock, I would say that's not possible because she couldn't get her mage hand or lockpicks to the other side of the door... unless she casts/pushes them through the keyhole/under the door (your ruling on whether the keyhole goes all the way through (in which case, she could pick it from her end)).
RAW: With an invisible mage hand, you can do the following (AT, Mage Hand Legerdemain, PHB p. 98)
- You can stow one object the hand is holding in a container worn or
carried by another creature.
- You can retrieve an object in a container worn or carried by
another creature.
- You can use thieves' tools to pick locks and disarm traps at range.
In the spell text, it doesn't put any restriction on "any object not worn or carried," so it could definitely be used to take a crossbow bolt, or even pull the trigger prematurely.
RAI: You couldn't possibly see what you're doing with a fine lock or trap at range, so being blinded isn't an issue, because you can "feel" it through the hand. And you don't need to be able to see the hand. If she could get the tools, she could open the door from the other side.
As far as harassing people... that's pretty broad. You could apply 10 pounds of effort in quite a few fashions. Steal a handful of their arrows (and hold them up in the air (no more than 30 feet away from you)), undo their belt, tie their shoes together (or any other myriad wardrobe malfunctions), pull their hair or flick their ears(no damage), put a thumbs-up in their chair as they're about to sit down, use scissors to snip a cross/bow string (cruel, if it's a magic item - maybe only against mundane strings)... the list goes on.
Best Answer
Probably not
Under the usual proviso of "spells only do what they say they do", then there is no indication in the spell description that the mage hand is visibly connected to the caster.
As you quoted yourself:
There is no reason to believe there is any other visual effect. (Though the guard would probably realise that a caster is somewhere in the vicinity, depending on how savvy he is and how common such magic is in your setting)
As to the picture in Xanathar's, there are two (well, three) explanations:
First, the simplest explanation, is that the picture is misleading. This isn't a very satisfying explanation though and a bit of an insult to the artist. And the editors may have approved this image simply because that's how they imagined the spell despite the slightly contradictory description (as NautArch commented below).
Second, there is usually no harm for players (or DMs) to come up with their own visual appearances of many spells, as long as it doesn't ordinarily provide some mechanical advantage. This is all part of a DM setting the scene, e.g. describing magic missiles as zipping blue lights, purple spears of power or balls of mist with a vaguely skull-like appearance normally doesn't matter! In this case, the artist has decided that his or her wizard's Mage Hand does look like that.
Third, it is just a visual representation for the purposes of letting you, the viewer, know that the woman behind the curtain is actually the caster (which perhaps may not be too obvious). This is similar to how comic books often represent "invisible" characters - as a faint outline that you can see, but which its conventionally understood cannot be seen by other characters in the comic.