It's okay to use a pick, or to not use a pick. You get to choose.

I mentioned in another, related thread that part of the key (for me, anyway) is to NOT hold the pick too tightly. If you use a "death grip," you lose the ability to control dynamics, as Margaret V says. But moreover, it actually can make it MORE likely that you'll drop the thing. A more flexible grip allows the pick to move a little when it first hits the string, and then come back into playing position, without weakening your grip on the thing. It's like the old saying about how the tree that won't bend gets blown over in a storm, but the grass that bends is not bothered by wind (something like that, anyway). Then you can vary your grip -- hold it more stiffly to dig in on those single-note leads, or relax the grip when you want to strum chords or play lines that don't require so much power. Sounds counter-intuitive, but it's worth exploring (I've been playing with a flatpick for 30 years, and this is what works for me).

I didn't know that Dan Crary held his pick that way, but BlueJay's description of his grip is actually pretty similar to mine. I only use the middle finger when I really need the extra power; usually it's just the thumb and tip-of-first-finger. But Mr. Crary plays with a lot of power, so his approach is worth looking into.