This is a big reason I like external power bricks over SFX psus for SFF, I know some insist on having internal PSUs and that external bricks are "cheating" but they really don't add to the volume when you can hide them away like that.
Well you can also just hide the whole PC away like that if you're building in an S4 Mini or a similar case, but the build doesn't have 0L volume because of it, does it?
I understand the whole argument about footprint, absolutely valid, but I think the external bricks should still count to the volume. The problem with the whole discussion only really arises if someone claims to have a "smaller" build than somebody else while he just hides away a third of the volume somewhere else. In that case, it really feels like cheating.
But if you just want the box on your desk to take up less space, that's one of the ways to do it and I don't see anything wrong with that.
Also yes, just emulating that harness by soldering a few wires will work absolutely fine. The cables don't even need to be very thick, the amount of current on those control lines is minuscule.
Is it possible to use this double Pico PSU setup with a single 330W Power Brick (like Dell or HP Voodoo), just by connecting both Pico inputs to the brick connector?
Yes, it is. Not sure why you'd have to do that, you won't get more power output that way, but you can.