I'm surprised the OP doesn't have "Sega Genesis Collection" the list just for Phantasy Star 2, 3 and 4. $14.99 to have 3 amazing RPG's is a steal. It's not on SONY's game list, but if you download on PS3 and transfer to Vita it works perfectly fine.
Games look better with the PSP color space, plus you have the option of "original video resolution", even though the games look pretty decent stretched out on the full Vita screen.
One thing to remember is not to actually save in the games, since that obviously doesn't work, but to hit select and make a save game state.
Been enjoying Phantasy Star IV for a while, first time I ever got to play it on a portable WITHOUT the crazy bad PSP load times and not-black screen.