Hey, if you have the ability to try out multiple types of heads, go for it. Not everyone loves TC though, so I really just meant to make sure you at least have some kanthal or stainless coils that you can vape in wattage mode as you're already enjoying that. Stainless is good in both power/wattage or SS-TC modes, so that would probably be a good option. There's no inherent harm in trying the nickel or titanium heads as long as you know to use them in the correct temperature control mode, which you do, but both are more outdated TC materials than SS, which can again also be used in power mode. I'm not trying to talk you out of it, though, just recommending that you a) be sure to have some kanthal or stainless coils you can use in power mode if the TC isn't working out great for you and b) if there's a limit to how much you can get, consider going for Stainless over Nickel or Titanium for TC.
If you try TC and it's not working out well for you, the Pico has TCR modes (essentially custom-set temperature control) which allow you to fine-tune. You don't have to worry TCR at all right now but just saying that the mod does a lot if the pre-set temperature modes aren't vaping well, and sometimes they don't.
Re: Atlantis coils, it's just a personal preference thing. They are similar in shape, size, function, and so are essentially interchangeable. They are not EXACTLY the same though, so some people like the Atlantis coils better and vice versa. They are very similar. I have used the atlantis coils in my Melo 3 Mini and I have to say the provide a nice vape and maybe lasted a bit longer than the Eleafs, but the price wasn't worth it and I find the Eleaf coils to be just fine. You are right there is nothing inherently better about the Atlantis coils, but they are so similar in shape (or really vice versa, chronologically the EC heads are so similar to Atlantis heads, I think) that they are arguably "made for" your tank, too. Some people like Pepsi, some people like Coke, right? The Atlantis coils are a tight fit in the mini 3 at least, but it's just something anyone with either tank... and a couple of others... has the option to try at some point. Atlantis also did/does also have different available resistances or materials.
Lastly, I'm a builder, and I wouldn't necessarily discourage a motivated new vaper from rebuilding on a regulated device, which you have, so long as they were willing to do the research necessary to keep themselves safe. There are so many tutorials available online now, both written and video. I mean I can't stop anyone from doing anything, of course, I simply wouldn't encourage it if a person seemed completely unwilling to do the requisite "background work." Only you know if you tend to be good with things like that, working with your hands on small pieces etc., but there are also tools to help you build if you need them. Between the tools, tutorials, and the protections afforded to you by your regulated device, I see no inherent reason not to try it out if you have a strong desire. Just start the right way, i.e. by finding an RBA or RTA or other rebuildable deck that will be relatively easy to build on, and by starting with simple nichrome or kanthal coils... not a quad-core nickel stapled and fused and helixed and double-claptoned with stainless and nichrome (not a thing, not even close to a thing, I am joking). Start slowly, get the right tools, and use coil-wrapping calculators like steam-engine.org if you're going to do it, is my point.