There is currently no way to save data from the sdk into a psdata format file that can be loaded into Picoscope 6.
The SDK allows you to capture data without the limitations that you have in the Picoscope software. These limitations exist as the software makes decisions about the amount of data it collects per screen due to the restrictions of the timebases and the collection capabilities of a wide range of devices supported by the software. It is also designed to support lower specification PC's to make Picoscope accessible to the majority of people.
What particular features of the Picoscope software are you looking for in the SDK ? It may be possible to code these from third party resources.