I have no idea how you setup you field to achieve this, but this is beside the point. :)
I've used the following setup, first attachment:
- The picker has four options (1)
- A business rule contains two of these options, which returns all rows (2)
- On the value change a form rule checks whether the current picker Id in in the collection of values returned by the business rule.
This works quite well, second attachment. If A is selected, which is not part of the business rule options, the message is displayed and it gets deleted. If B is selected the other message is displayed and the values is kept.