Autosteal should have been turned on. My guess is that the script went through all the rooms, found the special locations in each one, and started to try pickpocketing barrack Mariachis to get the last key. Were you not getting the jump? Did you pickpocket the last key from the Barracks or from a regular combat encounter? As always, a session log would be more helpful. Could you also check your <name>_prefs.txt file and copy here all of the settings that start with "nemesis_AT"?
If you always go to the same location, do you always get the same kind of Mariachi? Maybe the script should remember which Mariachi is in a specific location, so it can try to pickpocket the easiest ones first.
EDIT: I use visit_url() to start the fight then use run_combat(). Maybe pickpocket is skipped because Mafia thinks we are on round 2... I will be able to test this soonish.