Dou you thint same is with Matrix Path of Neo (link above) or other games?
Well, since the hardware doesn't have the capability, it stands within reason that other games also fake the results. So, the answer would be yes, it's the same for other games as well.
But does PS2 support Bump Mapping?
No, it does not. PS2 rasterizer (Graphics Synth) is very bare-bones, feature-wise; it doesn't even have a full set of alpha blending modes IIRC, but what it does have is shitloads of fillrate (comparable to hardware of its time, and even for years afterwards too), due to lots of pixel rendering pipes (16 total; 8 that can texture) and the eDRAM with its double 1kbit wide read/write ports and 512bit wide texture read port, giving it absolutely staggeringly massive aggregate on-chip bandwidth for a turn of the century era piece of hardware. So you could pile on layers and layers of textures to create a specific effect using brute force and not really slow that thing down.
IIRC, John Carmack once matemathically proved that using Boolean logic you could perform any pixel shading op just with texturing and alpha blending - theoretically. In reality, advanced operations would require massive amounts of blending passes and 8-bit integers just don't have the precision needed. Everything would literally turn into mud.
But you can fake stuff without having to actually perform the operation itself - you just do something simpler which gives a close-enough visual result, under the specific conditions of your game. Under other conditions, the result might look completely wrong, but that doesn't matter for this particular game.
So it's not really important if PS2 supports this-or-that feature; if the end result looks the same - or sufficiently similar - then it doesn't really matter.
Almost every game out there doing advanced rendering effects fake things to get the game to run fast enough and/or look the way the developers want. Faking it is a time-honored tradition in the gaming business!