Try installing the bluetooth DUN package and see if it would work then. Though it might be a problem that PSP refuses to even check if the DUN profile is supported since the device reports itself as computer and not phone in the BT device class.

The mobile hotspot currently also only supports Ad-Hoc wifi for connection sharing but since that seems to work well enough for now it may be that we'll be looking into getting AP mode working next (though it might be impossible due to limitations of the radio hardware).