At line 129, pico_setup.sh delivers the sdk-2.2.0 tag in the RPI fork of OpenOCD. That version contains raspberrypi/openocd#139, which prevents me from debugging my Pico. The context suggest to me that it breaks RP2040 debugging for everyone who uses this script, although I didn't test it under other conditions.
The bug has been fixed and merged to the rpi-common branch of OpenOCD, but that's not what this script tracks.
I have filed raspberrypi/openocd#148 to request a proper release from OpenOCD. If they do it, great. Until then, pico-setup's users are impacted.
However it gets done, please ensure that pico-setup delivers the patched OpenOCD.
Thanks,
Michael