my experiment of burning FEAR to a dvd and using this method didn't work - it only shows up as a data dvd, under movies etc - nothing under game
however i just realised that i am doing it wrong, i was exiting via the ps button - now i know you mean the game's menu option of save and quit
UPDATE - i tired it again using a different region ps2 game and after exiting rfom it took awhile and then ended up at the xmb - showing playstation2 format disc (as it always does) if it actually tried to run it, but couldn't because of regioning then it didn't say.