I guess that they made it their own way. It can be done in several ways.
In fact it may be a ListView with a "floating" view above it. When you scroll the list then change the values inside the indicator to match the element that is below it.
It may even be a single ListView that knows which element is at the middle so that it uses another UITableViewCell design for that one element, giving the illusion that is the one selected. (Carrousels do this)
It could also be done with a UIScrollView and the commented view indicator.
As I remember you can't change much of the UIPicker design.
EDIT
However, you can still edit the UIPickerView styles using the - (UIView *)pickerView:(UIPickerView *)pickerView viewForRow:(NSInteger)row forComponent:(NSInteger)component reusingView:(UIView *)view
method.
Also, you can "remove" or change the default picker border by adding some PNG image above it with transparent center and allowsUserInteraction = NO, so that you can still use the picker bellow it. To remove it just create an image that will look as the background.
The only drawback is that picker view has specific height sizes that you must use (162.0, 180.0 or 216.0). That's why I don't think the example you provided uses a picker view.