You don't have to delete any of the 3-ways, except the one where the master switch goes.
That's what the blue wire on the master is for. You just have to modify the wiring a bit at the last 3-way. Basically, along with the blue wire, you put a jumper between the common and one of the traveler terminals. I have a diagram but not handy right now. It's also in the instructions sheet that comes with the switch.
I use the RF switch that is just an on/off. It's the same exact switch as the Caseta only cheaper. Plus, it doesn't require a neutral. Works with the PICO.
If you're just wanting to add a switch to an existing SP switch circuit just put the PICO wherever you want it.
If you want to add a switch to an existing 3-way circuit (basically making a 4-way circuit) then just replace one of the 3-ways with the RF switch, put the PICO where you want it and modify the wiring at the other 3-way.
If you don't need the last 3-way and just want a switch at another location then you can just wire the last 3-way through and either blank it off or leave the switch but no connections to it.
https://www.1000bulbs.com/product/117305/LUT-PD5SDVWH.html