Thanks Marv, I thought it might have had something to do with the state being on a prefab.
I did find a workaround but not sure it's a good way to work. I created an FSM on a new empty GameObject, added the required action and set it up as I needed, and then copied from there onto the state in the Prefab. When I copied it it remembered all the settings. I didn't have time last night but I'm going to check it tonight and make sure it's not causing any problems.
Cheers.