Ask these PlayStation forum users, who discovered that a kink in the DRM for the free European rewards program games meant that downloading the games to a PS3 before copying them to a Go invalidated the licenses. In short, if you download your free games to a PS3 first, you will have not free games, but free large, useless files.
Sony is aware of the issue, advising new users to download their freebies directly to the PSP so they can play them at some point. If you've already made the "mistake" of redeeming your codes on the PS3? "We're still coming up with a solution for those who have redeemed the voucher and are now receiving the error message," forum moderator moshii says, "and we'll update you as soon as we have a solution for you."
Kind of makes you nostalgic for when the only method of transfer for games was from the box to the system via the "your hand" protocol, right?