With 12V in, that means 3.5W dissipation when the HX711 is drawing its full 500mA. That's for JUST the HX711, if you add the Pico it's closer to 7W. Can work, but you need to use 7805 in TO220 package with a sufficiently large heatsink. It's wasteful and unnecessarily expensive, so I'd just use a DC-DC buck converter instead of a 7805. This is assuming that your Nema & drivers actually need 12V (it's not specified in your long post) - if they also run on 5V, I'd just use a 5V supply to begin with.
Yeah, well, OK, but also throw in something like a 1000uF cap on the power input.
I find your schematic hard to read, especially the text. Please upload a better version; I don't really feel like having to strain my eyes to make out what you're doing there.