Or he has to roll only once, when "activating" the power? If so, he maintains the bonus psy rating until he "decativates" the ability?
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From various community discussions on the subject (Pyskers sustaining powers , Psychic Power Duration, Sustaining psychic powers), you perform the psychic test and roll for psychic phenomena once, then the sustained power would be maintained with the bonus Psy rating until "deactivated".
The community posts are borne from the core book's non-existent description for a mechanic for sustaining psychic powers.
The errata hints at some form of agreement on this; it states that the Mind Probe power, despite taking 5 rounds to cast, should only require a single Willpower roll.
Remember that multiple sustained powers would still reduce the Psy Rating accordingly (by a count equal to the number of sustained powers), and if any sustained power's effective Psy rating became 0, it would cease and need to be recast.
Also remember that if for some reason the Psyker would be unable to sustain the power, i.e. falling unconscious or otherwise losing their concentration, then all their sustained powers would also end and need to be recast.
As an aside, other Fantasy Flight 40k systems have better descriptions for sustaining psychic powers, and typically have dedicated actions for sustaining powers, such as a half action with Willpower roll to maintain all sustained powers, or at least describe the specific mechanics for how a particular power is maintained.
Your comment-question about Psy Rating 0 powers makes no sense; using a power with psy rating 0 would immediately cease (at best; in my mind you wouldn't be able to cast it, as you can't get the psychic energy behind it).
I used the phrase "effective Psy rating" because although a power could be cast with, say Psy Rating 2, sustaining an additional two powers would make its Psy Rating 0, thus ending it, but if you sustained one additional power, it would drop to 1, then you could end the additional power and it would rise back to 2.
You can't cast powers with a Psy Rating of 0, and powers with Psy Ratings of 0 don't (can't) exist. Remember, normal people have effective Psy Ratings of 0, and so can't use psychic powers.