Pico power consumption down to 0.02mA

So what changed? Just the multimeter you used?

About the grounding - it's not required, but what can happen is electrical interference gets on pins which makes them (internally) toggle between 0 and 1 quickly. That toggling actually uses up power. One way to stop that is to ground pins - or you can just set them to outputs - it's maybe not as good but it's far easier!

It's a massive problem on the nRF52s, less so on the STM32 but you could try:

digitalWrite([B15,B14,B13,B10,B1,A7,A6,A5,A4,A3,A2,A1,A0,A10,B9,B8,A8,B7,B6,B5,B4,B3]);

instead of digitalRead and see if that helps lower it?