I'm impressed at how many times they manage to hint that hacking your PSP is actually illegal. There's not a legal precedent for that AFAIK(nothing has gone far enough to get a judgement/opinion written on it). I wonder if they are also angling the 'survey' to scare people away from hacking their PSPs.
Even if there was, there's no way that they are going to try and get people in trouble over this. It would be a huge PR nightmare. Hopefully most companies have learned from the RIAA's and MPAA's mistakes.