First of all, you have to watch it in the "HD" video. On SD, the resolution is 480x360, but this video is cropped further, making it 480x272, the PSP's resolution. In HD, the resolution is 960x540 (which is actually PAL Standard Definition), showing that there is a graphical improvement, you just have to look closely. Texturing, draw distance, lighting, effects, and polygon count are all much higher.*
Of course they aren't as high as Halo 3 to 2, but legend fails for bringing that up, since one system has several times the resources of its predecessor, so OF COURSE the graphics will have several times the improvement. In the case of Galaxy, the improvement seems to be around 2 times Sunshine, which is what Nintendo promised.
*I do maintain that even if HD, especially 1080p, isn't vital to see details in a game, seeing well below 480p does lose some detail, especially if it's barely above 16-bit vertical resolution.