What is your favorite old school console?

It's a stupid point for Lenny to make anyway. PSX is more commonly used to describe the PS1 than it is to describe the obscure device he's talking about. While it may not technically be correct, it is colloquially correct and should be properly understood by whoever the information is being communicated to. If someone were actually talking about the PSX device that Lenny referred to, it would likely make perfect sense in the context. In this context, PSX makes perfect sense for referring to the PS1.

tl;dr: Lenny is being a dick