Save states are very useful for getting past tricky moments, or taking a break in between save points.
However, from the perspective of a game, a futuristic time travel device, and that can confuse them.
If you save in the game (or if it auto saves) and then you load a save state from before that save was created, the game may become very confused. Some games store a lot of history in their savegames, sometimes timestamped, and this can get really messy when combined with warping time - it might refuse to load or save, because it thinks the save came from another PSP / play session.
With these games, it's safest, and recommended, to stick to regular saves and to NOT use save states. Alternatively, only use save states to get past tricky spots, and NEVER save again when having loaded a savestate from a time that's before you made your last real save (that does sound confusing, I know! But it's important, if you do want to use save states in these games).