You don’t get any extra documentation when you purchase a kit, everything is already online
You can see all tutorials in the repo here, or on readthedocs here.
(There is also a series of tutorials on the wiki, but many of these haven’t been updated for CW5.)
There is no specific tutorial for the EM probe, but there is this:
https://wiki.newae.com/H_Probe_Usage
Regarding Picoscope, see this forum discussion.
Jean-Pierre