I'd think Sony would be concerned about PSPgo sales. Whether the device sells well or not will help shape the face of future Sony products.
I'd also think consumers would be as well. I ended up asking for a PSP-2000 as a college graduation present back when the Daxter bundle came out because GameStop was starting to reduce the price of used UMDs at the time.
Would you, as a consumer, back an expensive game system that isn't doing well? Think about it - developers, publishers and the company making them could also see its not doing well. After a while, there'd be very few games released for the system, if any. Worst of all, the company making them could decide it isn't worth the effort and stop making them, shutting down any customer support.
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