It's not that it doesn't work with the PS3. It's that it doesn't work with PS2 games on the PS3. I have to do more testing, but I'm positive I can get it to work.
I believe if I start the game using the Sixaxis, and then switch over to the DFP while in Sim Mode, I will be able to get it working. However, it is fully backwards compatible, as GT: HD has been using the DFP on PS3's since TGS last year.
I think there is a device setup option on the XMD.
Edit: (from my PS3 thread) Just hooked up the G25. The PS3 seems to have no problem with it, but none of my games support it. The F1 and Motorstorm demos do not support wheels, and F1 doesn't even have options for controls. However, the wheel did work in both games, just not as it should. I had to use the corresponding buttons as if it was a SIXAXIS. The steering did work. It locked to 200 degrees in F1 and seemed to work fine. In Motorstorm it felt like it should have been in 200 degrees. It was similar to playing GT3 in 900 degree mode.
I know this thread is a little old, but has there been any resolution to the problem with the wheel on PS2 games? I am planning to buy the Logitech DFP with some x-mas money. I just started GT4 and decided to put it up till I get the wheel and start from the beginning again. I only have a PS3 so if the wheel doesn't work I will be verry dissapointed after I just spent $140.