You are correct, it should be "whom".
By the traditional rules, "who" is used for subjects and "whom" for objects. "Who asked the question?" "Who" is the subject, the person doing the action, so that is correct. "You asked whom?" "Whom" is the object, the person receiving the action, so that is correct.
The word "of" is a preposition, and so what follows is the object of the preposition.
The example you give may be a little confusing because "who" sort of sounds like it's the subject. If you said, "These are the people who were picked for the Arjuna award", "who" would be correct, because "who" is the subject. But when you say "all of whom were picked", the subject is "all", not "who" or "whom". "Whom" is the object of the preposition "of".
Note that in modern English we have few cases where we use different forms of a word for subject versus object, mostly just pronouns: who versus whom, he versus him, etc. This is unlike some other languages where there are routinely different endings for almost every noun. So many English speakers are getting sloppy about who versus whom. You'll often hear people say things like, "You gave it to who?" when technically it should be "to whom". If you go by the principle that whatever the majority of people say and write is by definition correct, then "whom" is obsolete or near obsolete.