The installation instructions for the picoprobe target are incomplete
The clone command in the existing instruction is:
$ git clone https://github.com/raspberrypi/picoprobe.git
But the repo contains two submodules freertos and CMSIS_5 that will not be populated using the above clone command. You can recover but it takes some fooling around and extra instructions.
My preferred edit would be to use the following clone command which will populate submodules.
$ git clone --recurse-submodules https://github.com/raspberrypi/picoprobe.git
Cloning with submodule population will allow the rest of the instructions to be complete.