In Short: Picard is like a father figure to Data. He has the wisdom and understanding of humans and their behavior that Data seeks, so it's natural that Data would seek him out on occasions to learn from him or for clarification of what Data does not understand. Also, Patrick Stewart and Brent Spiner are both fine actors who play off each other well, so it's only natural that the writers use this when they're writing an episode. However, there are many episodes and situations in the movies where Data has major scenes without Picard.
More In Depth: First, since Picard is the Captain of the Enterprise ad Data is the Second Officer, there are a lot of situations where the two will be closely involved or will have contact during a storyline no matter what, just due to their positions. Also, both Patrick Stewart and Brent Spiner are fine actors with a wide range (although, as an emotionless android, Spiner's range had to be limited by the nature of his character), and when writers have good actors like that to work with, many times they are drawn to writing scenes where the two actors can play off of each other. (When I was pitching to ST:TNG, my agent told me about situations to avoid because of the producers' concerns about what some cast members could and could nto do well.)
But there are a number of episodes where Data has his own storyline that has nothing or very little to do with Captain Picard. I stopped looking at episodes after Season 5, but here are some episodes that have a Data plot or subplot that either don't involve Picard or only involve him to a small degree.
(When I mention there are no important or major scenes with Picard or Data, I mean the interaction with the two is more like "button pushing" lines where Picard is giving orders or data is reporting conditions and there is no focus on Data's exploration and growth.)
In Datalore there is interaction with Picard, but in situations that can't really be avoided, but more of the interaction is between Data and Lore and other crew members.
In The Ensigns of Command Data is on his own and has almost no interaction with Picard throughout the entire episode.
In Tin Man Data's interaction is mostly with Tam Elbrun and Troi.
In The Most Toys Data is thought to be dead and is in the hands of a collector and has almost no interaction with Picard (possibly some at the very beginning).
In Brothers Data is summoned by his creator, Noonian Soong, and most of his scenes are with Soong and Lore. Again, any interaction with Picard is at the beginning and is more along the line of dealing with him as a a crew member following orders.
While Legacy does involve how a number of people react to Tasha Yar's sister, it focuses on Data and there are no major scenes between Data and Picard.
Data's Day focuses entirely on Data. Picard has his own issues to worry about, as does Data. While the two interact as Captain and crewmember, there is no essential scene between the two.
Another episode about Data learning about the "human condition" is In Theory, where another crewmember falls in love with him. In this episode Data seeks the advice of many crewmembers, but Picard doesn't figure prominently in his discussions about relationships.
In Silicon Avatar Data encounters the mother of one of the colonists who was killed by the silicon life form on the colony where he was built. He deals with Picard very little throughout the episode.
Hero Worship is another story where there is captain/crew interaction between the two, but the heart of the story is with Troi and a young boy, Timothy, and their interactions with Data. (Timothy thinks he is an android.)
This list is based on a quick review of titles, so there may be more examples (and likely are) and I did not go through Season 6 or 7.
Overall, Picard is much like a father figure to Data. Data wants to understand the human condition and Picard is the wisest human on the ship, with insight into art, literature, and music, as well as many other aspects of human nature, so it's natural for Data to often seek out Picard in his quest for understanding, but there are many instances of storylines where Picard is not a major part of Data learning and growing.
Now, as to the movies, there are only four movies for this cast and crew:
- Generations: Data finally gets his emotion chip. Again, most of his learning and growth interaction is with other crew members and not with Picard.
- First Contact The final confrontation scene involves Data and Picard, so they are heavily involved and, as usual, the two actors play off each other very well. So, yes, there is a lot between Data and Picard here.
- Insurrection: While Picard is the one who has to "rescue" Data and Data is the first of the crew members to make it clear his loyalty, at least in this situation, is to Picard over Starfleet, but the story focused more heavily on Picard than Data. (Although Data has scenes with one of the children on the planet.)
- Nemesis: This was known to be Data's last movie from the start, whether the movies continued with this cast or not. Since Picard was a father figure to Data, it really does make sense that there would be some good scenes with the two characters.
In a feature film, the situation is quite different from in a weekly TV series. The stakes are higher, you HAVE to have people come and pay to see the movie, so you're going to feature the most liked characters, your best actors, and whatever has been shown, in the past, to have a strong appeal to the fans.
So, while there is a natural relationship between the two that is almost like father and son, there are many episodes and stories where Data is learning and growing and has very little "emotional" or "growing" interaction with Picard.