Here's a pretty good article as to why the Pens didn't take the pick, basically repeating what was said here but in more detail.
Penguins set precedent by not asking for draft pick for fired employee
http://www.pensburgh.com/2015/5/5/8548495/penguins-former-gm-ray-shero-goes-to-new-jersey
In that article, it mentions Tom Fitzgerald and Jason Botterill's contracts are up this summer, if they follow Shero, will people be happy with that? I know how much people here like to say "country club organization" and "nothing will change" well those will be significant departures so, what would everyone think?
Also, it mentions, that if a 3rd round pick prevented Shero from getting the job in the first place, it would kinda be a ******* move for the Pens to prevent Shero from getting a rare opportunity (only 30 GM jobs in the NHL with few openings) over a 3rd round pick, as a business decision we let Shero move on without putting up a fuss, we did willingly let him go, it's the least we could do. We also cleared 7 figures off the payroll which is good for business (again, mentioned in that article), and the organization gets a pat on the back for being good sports
I don't mind us not pursuing the pick, we can use them but we could acquire them in trades.