We're about 98% sure the PSP does indeed have support for region-locked games.
Sorry, everyone. Details inside.
We reported on Friday about something pecuilar on PSP software packaging. If you missed it, it's here [1]. Basically, a "2" icon appears on the packaging for Namco's "Ridge Racers" and other PSP software.
Some speculation into the icon led to mostly dead ends, as Sony hasn't officially announced anything regarding this issue.
On the PSP unit's packaging, the following line (outlined in an obnoxious red color) appears:

That translates as "this unit can playback 'UMD' with region codes '2' and 'ALL.'"
I know you're thinking "well that doesn't mean anything because they could just be talking about movies," but when you look at the packaging on Ridge Racers [2], it becomes clear that Ridge Racers uses Region "2" and not Region "ALL."
We're 98% sure of this, because there is still a small chance that the "2" on depicted on the Ridge Racers packaging and the "2" referred to on the PSP's packaging are unrelated.
A very, very, small chance. 