ERROR: Could not open file : DISK_ERR

What's the difference between setConsole(Serial) and Serial.setConsole() ?

setConsole(Serial) should fail with Uncaught Error: Function "setConsole" not found!, the other will work :)

Sorry, I missed the SD card question...

Is there a possibility to set the SD card settings in the build settings for the Pico as well?

Yes, then you won't need E.connectSD - however I'm pretty sure that only works for SD cards connected with hardware SPI, not software SPI...

To use it, just copy the SD card lines you'd have seen for the original board and change them as needed.