That was my first thought too, but they are all bubbles (you know, how not-yet-installed games show up), and it doesn't seem to allow bubbles to be placed into albums. So now I have a bunch of bubbles between the game disc menu option and my downloaded game albums, heh.
if i recall correctly, there is a limit to the number of uninstalled games you can have on your ps3. i think it's either 10 or 20... 20 sounds right.
but you don't really need 20 uninstalled psp games on your ps3 just to get them on your psp -- as long as you know an hour or two before you need them, just download as you need it. or... can't you just download directly to your psp when you're ready for it?