I say go for it if this is the format your story naturally took. I have a "conversation" picture book under contract with Aladdin. The entire book is in dialogue between an alien, the three bears, and a surprise character. I wasn't fully aware of the "no talking heads" rule when I wrote it. It was just the direction the story took, the best method for telling the tale. Thankfully it found a home. I did tell the story with a lot of visual gags and illustrative potential, so that's really the key in making this kind of story fit the picture book format.
Keep going and good luck!