The Fluke is powered by a transformer and thus is floating (as long as it isn't connected to anything else or it is probing another floating circuit).
The scope's ground probe is at the same potential as earth ground. So in a mains powered device you only want to attach it to earth ground in the device - otherwise you'll create a short.
Here's some more discussion viz. probing USB powered devices:
https://www.eevblog.com/forum/beginners/probing-usb-powered-circuit-should-i-be-scared/25/If the PICKit is getting power from a laptop running off of batteries and there are no other electrical connections to earth ground, it should be safe to place the scope's ground probe anywhere in the PICKIt.
In general, though, I wouldn't connect your oscilloscope's ground probe to anything but the ground of the circuit you're testing. Also, understand how your circuit is powered and what relationship the power supply has to earth ground. A lot of the time the DC ground of an AC adaptor is either floating or the same as earth ground but some AC adaptors can work differently.