Its because PSP is a newer platform, and SCEA tends to price PSP games at $40, while PS2 games won't be priced higher than $30 (due to being an older/budget platform). SCEA has done this to MLB The Show and other games.
And because the game is $40 in retail, it can't be lower than $40 on PSN, or the retailers selling J&D The Last Frontier will be quite upset and cause a problem (SCEA cannot undercut retailers. That's why PSN Video Store, Xbox 360 retail downloads, and PS3 retail downloads are the same price as in retail and no cheaper).
The game is just a quick PSP to PS2 port, not a game that will take advantage of PS2 in anyway. I'm still buying it on PSP, since there could be DLC and I rather play this on the go (plus I figure its graphics won't look too good on PS2 due to being designed for PSP, like R&C Size Matters).