I am willing to bet that "Silent Hill 0rigins" will eventually go to home console, for instance.
That's one of the big problems right there. It's pretty obvious that many third party companies seem to have little faith in the system, espeically when you consider how many games on the system are either direct ports of console games (like MK: Unchained, Midnight Club 3, and Rush, to name a few) or that many of the original titles are being released on more popular home consoles (GTA Liberty City Stories, Tokobot, and Lumines, for example).
The companies must think that saleswise, the odds are against them with PSP exclusive titles and that the risk may not be worth it. If things keep going this way, the third parties may just give up on the console. And we all know what that did to the Saturn and Dreamcast...
Oh, and another thing. Need I remind you that UMD, a format Sony was once touting as the next big thing, is now, for all intents and purposes, dead? The idea of using it for selling movies and music obviously failed, so that's another problem.