Not all games use that type of system. Masks, for example, along with a few other PbtAs give players Exp/Potential when they fail a roll. That's an incentive for trying riskier actions, as well as not power-gaming and only use the attributes/labels you excel at since failure has its own reward - besides being fun.
When you're trying to think about how to distribute/grant exp, its not just about how characters are growing, but also why. Sure, you can have that TES-like system where you need to train Lockpicking, but how many opportunities will a GM have to present enough situations where a player can lockpick for Exp? Imagine every time someone played Skyrim and forged a hundred daggers because they needed to level up blacksmithing and how that would translate to a ttrpg (or not, since its a particularly bad system by itself)
I believe RPGs often benefit from narrative exp, and to use your Burglar example, they could have exp triggers that involve deception, forgery, stealing, etc. So whenever they lie to someone for self-profit, use their skills for ill gain, steal without clear necessity and such, they'd gain Burglar exp, and eventually perfect those moves or learn new ones.
I was obviously talking about COVID.