oh, you're right. The reason it didn't work is that asking for the "Picked Unit" before you're doing any picking, so the game doesn't have any unit to pick.
So what you shoudl do is this:
For the "Unit Group - " Action, select this command from the GUI:
Unit Group - Pick Every Unit in Group and Do Multiple Actions
This will then add a little tree to the bottom of the "Unit Group -" Action in which you can do multiple (think of it as a loop that will run as many times as there are units in the group, doing what you specify below)
Then, inside the tree (loop) of "Unit Group - " make the first Action inside of there setting the location to the picked unit (Now that it has picked a unit, there is such a thing and it can get its location)"
Then, make the 2nd action in the loop the Item - Create... step.
Hope this works