Well, since the PS3 accesses the Playstation Store, and you already can connect your PSP to your PS3 to do certain things, it makes sense. For example, you can connect to the Playstation Store with your PC, but obviously it wouldn't make sense to play PSP games on it.

Still, I kinda agree with you, and since they've already made PSOne and PS2 emulators, they may as well do one with PSP. But they're trying to sell that hardware, so it's gonna be separate.