So, your character is level 5, using a master lockpick and you're trying to pick a tough lock.
What's the level of the lock and your security skill?
Chances are the lock is just too high for your skill, regardless of the tool you use.
I should be more clear. It is the locks on the chests, even the level 1 chest in the census office in Seyda Neen at beginning of the game gave me the above warning. Words cannot convey what a screenshot can show. I wish this forum would create a section for screenshots so that players can show their problem.
Example: Instead of "Weapon, Apparel, Magic, Misc". I get "sWeaponTab, sApparelTab, sMagicTab, sMiscTab." Everything begins with either an 's' or 'sAttribute.' Everything is expensive even travel is in the hundreds of dollars. Yet the game runs smooth and perfect with absolutely no problems. Come to think about it, the game seems to run perfectly only when it is like this. The bent probes work but, I had to buy then create an open lock spell. Other than that the game is... wonderful!
P.S. You can buy Master Lock Picks from Serjo Avon Oran at the Oran Manor.