I'm afraid I just don't know enough about this programming language
yet to design this function before the final version of 4.1.2 is
released.  It seems to ignore any variation of a custom _integrate_.
Here is what I have achieved so far if someone is interested in
helping or further developing this function:

class Function_psi(PrimitiveFunction):
    def __init__(self):
        """
            Some description here.
        """
        PrimitiveFunction.__init__(self, "psi", nargs=2,
latex=r'\psi',
                                   conversions=dict(ginac='psi'))

    __call__ = SFunction.__call__


polygamma = Function_psi()

def psi(a,b="default"):
    if b=="default":
        return polygamma(0,a)
    else:
        return polygamma(a,b)

The definition at the bottom is necessary since Sage simplifies psi
(0,x) to psi(x).  Optional arguments are accepted only after the
required arguments, therefore, I created this to convert back.
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