Note: It is believed that once you download the PSN PKG file you can see it in the XMB and still (as always) have to install it.
The video does not show that, most likely because the installation would fail generating an error as it has since around the 2.4 PS3 Firmware Update. This is likely why the bubble is still around it when it's shown in the PS3 XMB.
However, the video does show the downloading of a file via PS Proxy. Feel free to comment below if anyone experiments with this further!
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I'm just throwing this out there, but assuming that when you game share, you need the other person's account to remain on your ps3 to use the files you shared, maybe the reason the installation doesn't work is the game runs a sort of check to see if the user who downloaded the game is on the system.