Yes, it is a bug that has plagued the franchise for a while.
It happens either when loading a game, or leaving a game (games summary, end game menu, or loading screen). I assume what happened was that the loading screen just stayed up forever, with audio still playing. Or the screen just froze not allowing you to exit. It happened on 06 and 07 ont he ps2 and now 08 on the ps3. SO dont worry, its just a bug. But since mlb 08 autosaves very often it usually is not a problem. Only an annoyance.
I dont have a psp, but since its a problem on the other platforms, its probably a problem on the psp version as well.