Picasso may just be trying to point out that there's a dangerous predatory carnivore in the house. That may be how he sees the situation.
There's a pretty good chance that Picasso will calm down once he realizes that the dog is not a threat. Of course, this may take a while.
Or, Picasso may be jealous or angry at the addition of another pet.
Give it time, and I'm sure you know you'll need to supervise whenever the two are in the same room.
Your comment about your experience returning from Afghanistan reminded me of our first bird, a Grey Cheeked Parakeet who was quite tame and friendly. One time, I returned home on mid-tour leave after being away in Korea for eight months. Petrie was in his cage when I arrived home from the airport. When I came into the room, he immediately turned his back and faced the wall, giving me the silent treatment. "That's odd", I thought. I called his name and reached into his cage, telling him how glad I was to see him and telling him to "step up". Petrie turned and gave me a pretty hard chomp on the finger. After a couple of choice words more or less under my breat I told him "step up" again and he climbed right up on my finger. Apparently my "abandoning" him for eight months was forgiven and forgotten, and he was sweet as he could be for the rest of my four weeks of leave...but he did the same thing when I returned from finishing my 12 month tour in Korea.
The next time I didn't reach into his cage right away, though.
Good luck with Picasso!