Phil,
The installation that comes with Pro includes Miniconda, you can create environments from within it which include all of the ArcGIS Pro dependencies by running
conda create --name myenv --clone arcgispro-py3
But if you have specific needs which require an external Miniconda, yes, you're right. I neglected an additional step that is needed with Pro 1.3 and 1.4. The C extensions which drive Pro would also need to be copied (in addition to the .pth file). Assuming Pro is installed into Program Files, you could use this batch script:
set DEST=c:\Anaconda\envs\myenv\lib\site-packages
cd "c:\Program Files\ArcGIS\Pro\bin\Python\envs\arcgispro-py3\lib\site-packages"
copy arcgisscripting.pyd %DEST%
copy gapy.pyd %DEST%
copy arcpy_wmx.pyd %DEST%
Let me know if either of the approaches above work for you, or if you have any further problems creating new environments which talk to Pro. We're in the process of revamping this so these steps won't be necessary in a future release.
Cheers, Shaun