when I pick one of my Pico's in Button Controller, I see both Held and Release options:
I'd pick both because I'd want buttons 1, 3 & 5 to be "double buttons" where push is one action and Held is another. Then buttons 2 & 4 would be the dimmer mimic and use "push and release."
Perhaps you didn't identify the Pico properly on the Lutron hub? It's been 10 months since I added my Lutron Hub and it's been 100% set-and-forget for me.