If I understand the problem correctly, you're putting the "Change Item" command on the same event page as the "Start Lockpicking" command. The "Start Lockpicking" command does not prevent the rest of the event page from executing, it just activates a switch when you win.
In other words, what you need to do is put "Start Lockpicking" on event page 1 and "Change Item" on event page 2. Then have "Start Lockpicking" activate event page 2 via switch when you win.