Pick Curve Pieces joins together a series of lines and arcs into curves. If you double click, an attempt is made to find a closed loop. If you click two different points, an attempt is made to determine the path between the points. Pick Pieces works only for lines and arcs. It cannot join curves with other curves or join curves with arcs or lines. See Curve join for this functionality.
How to chain lines and arcs into curves
Restrictions of using pick pieces (chaining) for creating curves
Troubleshooting pick pieces (chaining)
See also Clip, Curve join Working with Imported geometry.