I guess they could be given an Old Gods heresy for a religion.
It is however somewhat unclear at to whether Picts were Brythons or Gaels. There don't seem to be any written examples of the language, and it has no descendant to reconstruct it with. We'd have to be careful considering we can never really be certain what the Picts did or believed.
I think Caer Cadarn is messed up. I moved my capital to Londinium and gave all the counties in that High Lordship to the Lord of Vectis, but he isn't creating the lordship. I switched to playing as him and it's not available. I think you've formatted it wrong so you need to be BOTH Roman and Romano-British to form it, which doesn't make sense.
Britons seem to be prepared to educate their children as Anglo-Saxons. This seems odd. If you can, make a malus that prevents them doing this, and an event for a parent to make their child adhere to British custom again. I was thinking of making an Icenian or Anglo-Brythonic culture inside the Celtic culture group that these characters and lingering Saxons could become in the years after Icenia is formed. What I'd do is go through your name list and find equivalents in British or just make them sound British in some way. I was also thinking that there could be a chance for a two or three sided war to occur between either Old Gods and Catholic factions or Briton, Cumbric and Romano-Briton factions, which could be a good way for people to have something to do before Danes arrive. Such an event should only happen if Ius Imperii is not restored and the Saxons are gone. I want to make some flavour events for the end of Saxon rule, some of it should involve migration out events where Saxon provinces become "abandoned" and settlers move in. However, some could remain and assimilate somehow or cause continuing problems through event triggered rebellions or through Old Gods rebellions. Perhaps Saxon adventurers should be able to seize chances to take some land so that something like Nortfolc could keep appearing again and again (though not de jure until they retake all of Anglia).
There are no de jure recapture events in Gallia and hovering over the creation conditions for Benoic once Neustria is formed will crash the game. Seeing as Arthur Pendragon, at the age of 65, has lead an army triumphant through the gates of Ynys Trebes and installed an Armorican ruler there, that feels like a bit of an empty victory. Maybe if a British lord manages to reconquer those places, they should be able to add them de jure to Britannia and leave the Franks in Soissons. Alternatively, they could choose to try and pursue Syragius' dream (by event choice, doing so should start a quest chain to guide them on that path) and restore Soissons, then march up to Belgica and proclaim Imperium Brittanicum (just have the name get changed immediately on formation). Doing so should cause the High Kingdom of Britannia to turn on them and they should lose their High King title if they have it, in my opinion. I can give you potential events or diagrams to illustrate any of these suggested events if you wish.