Thanks ajb2k3,
I did manage to get my Stamp Pico working with both a PIR sensor and relay unit.
The problem was my fault. In soldering on the grove connector to the Stamp Pico, I soldered it on the wrong side of the board so when I connected a grove cable - ground was connected to GPIO 33, 5v was connected to GPIO 32, GPIO 32 was connected to 5v and GPIO 33 was connected to ground. Fortunately I didn't cook my board.