but not as a component (using the decorator)

Hmm yes, I think that component calling component as an external component is not supported yet
(basically the difference is , is it actually running as a function, or running on a different machine as another pipeline component)

I noticed that when a pipeline step returns an instance of a class, it tries to pickle.

Yes this is how the serialization works, when we pass data from one node to another (by design it supports multiple machines, so we have to serialize the objects).
Yes we kind of assume you can pickle the object, because as mentioned above the second node / component is running on another machine
Make sense ?

What is the object you are trying to pass?