The bootloader that comes preinstalled on the picocalc is limited and won’t execute a binary unless it’s built in a particular convoluted manner. It’s more trouble than it’s worth and you should get rid of it.
You can flash your uf2 directly to the pico in bootsel mode, overwriting the bootloader and running it directly.
Or you can install the improved replacement uf2loader (UF2 Loader release) which can load standard uf2 files without any faffing about.