Once you get 50 Thieving skill (at least, that is when it started with me), it seems that the text for geting a skillup when using pickpocket dip does not match up to when the skill actually increases.
Here is a
savegame from when it started happening. Click the pickpocket dummy, then leave the den and come back, try again. The notification and the skillup are off by 4-5 attempts.