Saving the scene should save any modified FSMs in the scene.
Saving the project should save modified prefabs.
The Playmaker Editor Log should show the FSMs that need saving, and you can click on them in the list to select them.
If they're not saving for some reason, try changing them in some small way (e.g., moving a state). But let me know if you have to do that, because that's probably a bug! :/