Excuse the double exclamation marks.
It's understood that the Pictish origin legends (c.731AD) are probably reliant on a probably Irish author (or having access to Irish learning), who had access to Servius' now-standard commentary on the Aeneid. The Aeneid related the different barbarians that the Romans were familiar with, and there is a line where he compares the picti Agathyrsi (who had 'agreeable sea blue hair') with the Picti in Britain. The argument is that mediaeval scholars preferred to locate their origins in classical antiquity and so our Irish monk (?) joined the Picti and picti Agathyrsi into one group to make this so.
The origins of the connection between the Agathyrsi and Scythians is dependent on Herodotus, who wrote that Heracles fathered 3 sons in Scythia - Scythes, Agathyrsus and Gelonus, the latter two being forced into exile by their mother. Both are characterised as 'painted' by Virgil in his Georgicon.
Isidore of Seville's Etymologie (c.630?), a hugely popular mediaeval book also used by Bede, makes the connection with Picti and Scythian Picti, b y stating that there was a group called the Albani who had white hair and coloured eyes which 'helped them see at night'. This allows our monk to make a connection between Alba (the kingdom of Scotland) and Albani should he so wish.
Regardless of the pathway, the Picts don't coalesce into a separate ethnic group until the 8th century.
Well they're question marks for a start.
The section you've linked in fact is just a paraphrasing of the introductory words of the Venerable Bedes Ecclesiastical Histories. What is said below applies to both.
The 'Picts came south from Scythia' makes little real sense. Scythia is no way north of Britain and is in fact a long long way east. Nor do whoever the Picts were come from Scythia (at least not directly). This is probably just an error. Of course the Picts may have sort of migrated from the Scythian region, as many European tribes/ethnic groups actually did, but its unlikely that this was known at the time as it would have occurred thousands of years before the ASC and well before even basic written records, or possibly before writing existed anywhere.
The ASC was written in 900AD, long after the events, (over a 1000 years) its attempting to describe in its introduction, When Bede wrote his original that too was 6-700 years after the events it describing. One of the clues about its innacuracy is that it broadly uses the names for people known to be existing or have existed at the time of writing, scots, britons, picts as if they existed, in that form, a thousand years earlier. The history of Pre-Roman Britain is entirely undocumented and we can only reconstruct it now via linguistic and genetic clues. In the previous sentence its claimed that the Britons come from Armenia, although its possible it was meant to be Armorica (the former is in the Caucasus region and the other around modern day Brittany). I think Bedes version says Armorica (correction, there seems to be several versions, they may be a bit different).
So, validity of that specific claim? Awfully low. Where did the claim from? An innacurate and far distant telling of what was believed to be the origin of the people living in Britain, muddling together modern (at the time) names and concepts with a fairly standard origination theory. It also echoes, slightly, in my opinion, the Irish origination stories, but without the 'monsters'.
Online Versions. I prefer Bedes work. http://www.fordham.edu/halsall/basis/bede-book1.asp http://avalon.law.yale.edu/medieval/ang01.asp
In [Book 4, Line 146] of Maurus Servius Honoratus' commentary on the Aeneid (http://www.perseus.tufts.edu/hopper/text?doc=Perseus%3Atext%3A1999.02.0053%3Abook%3D4%3Acommline%3D146), he mentions that the Picts were descended from the Agathyrsi, a Scythian tribe well known for their tattoos. Without any proper evidence, I'll nonetheless speculate that this is where the line came from.