Yeah, I also tried it myself and nothing happened. Seems like the only way to install psn games on your external hd is to use the game data loader. It was really a big help to me in saving space in my ps3 hd.
Please help... I have problem with Batman AC. I have Batman Arkham City iMARS us version and e3 blus fix for 3.55 (pkg), but when installed pkg fix and start game from Multiman and change param sfo to 3.55, game show me some installing data files and goes to black screen. After that and so much waiting nothing happen, I must exit the game with ps button... Maybe I am dumb or something missed.