Of course it shouldn't leave a message to the player getting pick pocket, but it should if you failed
also you would have to be in battle mode yourself ofcourse, and agillity level would just increase the chance for getting away with it.
What about stealing from shops? it could be like if you fail it would say in the message area that the shop owner yell for his gaurds and two high level gaurd monsters would appear and attack you? ;O