Hi Jean,
I remember coming across this issue in the past:
To disable the drawing of active state labels there is an option in the PlayMakerGUI object that's created by PM in your scene. Click on the object and in the inspector you'll find a few flags and one of them says "Draw Active State Labels", so the theory is if you uncheck this flag you will not see the labels when you run your game.
However, it has proven to be unreliable at times as I recall not being able to hide the labels even after I uncheck this flag. In that case I remember going through the objects in my scene that have FSMs and in the inspector untick "Show State Labels"for each FSM for those objects.
Hope this helps
Paul