Assuming the Pico is in the room, the reason for not adding it to the Device Control section it is that button devices aren't a device type that RL is designed to control (e.g., tell the button device to push its own button). RL is designed to control switches/dimmers/plugs/outlets/bulbs, etc., so those are the devices that will be automatically added to the Device Control section. As @sburke781 says, you can then select button and other actuator devices like switches, dimmers, etc., to control those devices.
RL really isn't the most likely app for this type of automation...other than to experiment w/RL and get to know it a little as you noted. 
RL's real strength is lighting automations based on motion/presence/contact sensors, timing, etc. Walk into a room, lights go on, leave, lights go off, etc.
It can do anything that you can do manually...you choose a dimmer to be controlled, and set the desired dimmer level. See the "Level" value in the Activation Settings (current) section.
Room Lighting is quite powerful, but it's wide range of options/settings can also be a little confusing. Best to begin w/simpler automations and build from there. Tons of info here:
