Close, but it’s a little more complicated. Or a lot simpler, depending on how you look at it.
The pico remotes will work great as a virtual three-way with the Lutron switches, whether you use the regular SmartBridge model or the smart bridge pro. Which is to say, when you press a button on the pico, the associated Lutron Caseta master switch will turn on or off or dim.
If you are using the official integration, the pico itself is completely invisible to smartthings. It doesn’t know it exists. But the SmartThings hub will know (within a few seconds typically) when the Lutron Caseta master switch comes on. So to the SmartThings hub, using the pico switch on the wall is exactly the same thing as pressing the master switch on the wall. And that’s all that most people need.
The only reason to do anything more is if you want to be able to assign some other actions to a pico button. Like turning on some hue bulbs. Or disarming the security portion of SmartThings. Or doing a whole " movie night" scene.
Note that you don’t need a pico in order to do any of those things. You can do them through the SmartThings app, or you can do them through any other device that SmartThings recognizes, of which there are many, both wall mount and handheld.
But if you specifically want to use a pico remote button to do anything other than turn on an associated Lutron Caseta master switch, then you have to forego the official integration, and instead use a community created integration which will require the Lutron SmartBridge pro plus an additional processor to act as a “man in the middle” between the SmartThings hub and the Lutron smartbridge pro. Typically the man in the middle server is a raspberry pi, but there are other options as well. All of which is obviously much more complicated and requires much more technical skill than the official integration.
Do you need the server set up? Again, only if you want to press a button on a pico remote and have something happen other than a Lutron Caseta master switch responding.
It’s always good to have choices, and there are community members who just really like the pico form factor and wanted this option. But most people won’t need it. They’ll just use the pico’s as auxiliaries For the Lutron Caseta dimmers, and they’ll use one of the other 20 or so button remotes for anything else. Or a wall mount tablet. There are lots of options that work well with smartthings, it’s just that the Lutron pico specifically does not.