PSX =/= E3. It's a different stage. I'm not saying Sony couldn't have done it, but I honestly think it was as much their decision to not have it in there as it was Atlus'. I think that if they wanted it, they would have gotten it.
Sony didn't even show Wild at E3, their own first party title they showed at PSX.
For Wild, well who knows how far that game is in development, while Persona 5 is a Sony exclusive slated to release in 2015 both in Japan and in North America. One of the only actual Sony exclusives shipping this year that they would have had on stage.
But yes, PSX is not the same as E3, and we can't really know what went on behind the scenes regarding the decision behind P5's omission there (even in the montage sequences).