GUI Actions are designed to run every frame in OnGUI, so they don't finish. As long as an action is active (highlighted green), the automatic FINISHED event won't be sent. That's why you see the FSM "stuck" in the Init state.
But in this case, Set GUI Content Color should go in the same state as the GUI Label anyway. It needs to be set every OnGUI before the GUI actions that you want to tint.
The reason it's not changing color is probably because Style is blank, and it's using a default text style with black text, that can't be tinted by Set GUI Content Color.
If you set the Style to a style in your custom skin (e.g., Label) it should work. Make sure the text color for the Label style is white if you want to tint it different colors.
Or you could just set the text color in the style and not use Set GUI Content Color at all
EDIT: The GUI Label action should probably default to use the Label style so there are less steps to figure out. I'll make that change...