The psionic power die is a discrete-time Markov chain whose states correspond to the size of the die, as well as an absorbing state (the power die is exhausted). The Markov chain is governed by a stochastic matrix \$P\$, where element \$P_{i,j}\$ is the probability of going from die \$i\$ to die \$j\$ in one use of the power die. For the d8 case, \$P\$ looks like:
$$
P = \begin{pmatrix}
\frac{7}{8} & \frac{1}{8} & 0 & 0 \\
\frac{1}{6} & \frac{4}{6} & \frac{1}{6} & 0 \\
0 & \frac{1}{4} & \frac{2}{4} & \frac{1}{4} \\
0 & 0 & 0 & 1
\end{pmatrix},
$$
where rows represent the current die and columns the next die (both in descending order from largest to small die, with the absorbing state at the end). Note that the rows sum to one (for a given current die size, all possible die sizes after the next roll must have total probability of 1), and that the last row (the no-die row) is absorbing: once the chain enters this state, it never leaves (at least until the psion rests!).
To compute the distribution of the number of rolls until we exhaust the power die, we look at the upper-left block of the \$P\$ matrix (i.e., the part of the matrix that governs transitions among non-absorbing states). We'll call this submatrix \$T\$. For the d8 case, this is just:
$$
T = \begin{pmatrix}
\frac{7}{8} & \frac{1}{8} & 0 \\
\frac{1}{6} & \frac{4}{6} & \frac{1}{6} \\
0 & \frac{1}{4} & \frac{2}{4}
\end{pmatrix}.
$$
Further, we know that the psionic die begins in the largest die, which means we can describe the initial probability for each non-absorbing state with a (row) vector of probabilities for each state, \$\pi\$; for example, in the d8 case, \$\pi = \{1, 0, 0\}\$. Finally, the probability of going from die \$i\$ to the absorbing state is described by the (column) vector \$T_0 = \{0, 0, \frac{1}{4}\}\$ (again in the d8 case).
The probability that the chain enters the absorbing state on roll \$k\$ can be computed as:
$$
P(k) = \pi T^{k - 1} T_0.
$$
For d4 through d12, these distributions look like this (note that the x-axis is on the log scale: these distributions are quite broad!):

This also allows us to compute various summaries of the number of rolls before the psionic power die is lost:
\begin{array}{c|l|l|l}
\textbf{Die} & \textbf{mean} & \textbf{median} & \textbf{mode} & \textbf{95% probability interval} \\ \hline
d4 & 4 & 2 & 1 & [1, 10] \\
d6 & 16 & 11 & 4 & [2, 43] \\
d8 & 40 & 29 & 11 & [3, 108] \\
d10 & 80 & 58 & 22 & [5, 217] \\
d12 & 140 & 103 & 39 & [8, 380]
\end{array}
Psionic Replenishment
Following from @wereslug's answer, we can extend the Markov chain model to include Psionic Replenishment if we assume the psion uses the ability as soon as they reach a d4. To do so, we include whether the Psionic Replenishment has been used as part of the state of the chain. We can subscript the size of the die with 0 if replenishment has not been used, and 1 if it has been used. For example, if the psion is currently on a d8 and has used replenishment, they are in state \$d8_1\$, and if they are currently on a d6 but have no used replenishment, then they are in state \$d6_0\$.
We can apply the same theory as above with the new state-space, but with "failures" in the \$d6_0\$ state leading to transitions to \$dM_1\$ (where M is the maximum die size); we can exclude \$d4_0\$ because we never actually visit it. For example, in the d8 case, the state space (without the absorbing state) is \$\{8_0, 6_0, 8_1, 6_1, 4_1\}\$. The matrix \$T\$ in the d8 case is:
$$
T = \begin{pmatrix}
\frac{7}{8} & \frac{1}{8} & 0 & 0 & 0 \\
\frac{1}{6} & \frac{4}{6} & \frac{1}{6} & 0 & 0 \\
0 & 0 & \frac{7}{8} & \frac{1}{8} & 0 \\
0 & 0 & \frac{1}{6} & \frac{4}{6} & \frac{1}{6} \\
0 & 0 & 0 & \frac{1}{4} & \frac{2}{4}
\end{pmatrix},
$$
and corresponding changes to \$\pi = \{1, 0, 0, 0, 0\}\$ and \$T_0 = \{0, 0, 0, 0, \frac{1}{4}\}\$.
The resulting distributions and summaries are:

\begin{array}{c|l|l|l}
\textbf{Die} & \textbf{mean} & \textbf{median} & \textbf{mode} & \textbf{95% probability interval} \\ \hline
d4 & 4 & 2 & 1 & [1, 10] \\
d6 & 22 & 17 & 11 & [3, 50] \\
d8 & 62 & 52 & 34 & [8, 139] \\
d10 & 132 & 112 & 75 & [18, 293] \\
d12 & 240 & 205 & 138 & [33, 531]
\end{array}