Great question. The master key of PSP is stored in the NIC and shipped with the device. That's how authenticity is provided. Other than that, it's focused on confidentiality and integrity.
> each NIC has two 256-bit AES keys, called master keys, not shared with any hosts including its own, or with any other NICs. The master keys are "critical security parameters",which are kept ephemerally in on-NIC RAM, and must not be stored on any persistent medium.