to make it clear, one should also look at a signal of a specific frequency. The PSD is then an infinite narrow, but infinite high peak (a delta function with the integral yielding the power of the signal). The "PSD estimate" is a smeared out function of this delta function. But as narrower the bins, as higher and narrower the peak. On the other side, the power spectrum will always show a peak with a height corresponding to the power of the signal, independent of how narrow the bin is.