I don't think the dates of his crime, appearing at the assizes and going to jail before transportation with a wife & childs baptism later in the year all belong to the same Henry Pickett snr, the maths is a bit skewed, although Mary was supposed to have been baptised at St Martin in the Fields, an adjacent Westminster parish. Do you know when they married?
If this is the same Henry Picket jnr baptised 1801, he would have been conceived, just weeks before all these goings on.
Dawn