OK, but keep in mind the regulator would also power the Pico. I doubt that draws as much as 500mA either, but I'm not sure what the peak requirement of a Pico would be.
The motors need 36V and the Arduino + modules need 5 or 3.3v, so then you'd still have to DC-DC convert from 36V to 5V and/or 3.3V. I wouldn't use a linear regulator for that. If you insist on making the 5V (and 3.3V) out of the 36V, I'd still use a DC-DC buck converter. It doesn't have to be the heavy-duty kind you linked to before, but a smaller one with a lower power rating will do just fine. A DC-DC converter that will yield something like 1.5A or so would already be plenty big enough! Just make sure it is rated for >36V input.