We know that 4xAA's (non-rechargable) is 6V, we know the PSP expects 5.2V, and that the battery inside the PSP expects 4.2V.
If we assume theres a diode (such as a 1N4001), we can lose 0.7V straight away to give us 5.3V, suitable for the PSP. But, a fully (re)charged set of batteries is about 1.4V (5.6V) which would give us 4.9V, so the PSP would only be able to charge its internal battery to 70%.
So there has to be something more intelligent in there. If they use a vreg, there will be heat (and thus efficiency loses).
Since theres no way we can measure battery voltage from the outside of the PSP, I find the "overcharge protection" claim a bit WTFy - the PSP does that itself (It has to).
Ah sod it, lets just say the claim is bogus :)