OK like I didn't say it: if I only selected it and deselected it, nothing happened, it was normal. Exactly like if there was just one. No error popup.
Once I MOVED it up in the list, as first object, it started again saying that there's another Playmaker GUI.
This is REALLY odd.
I moved it back down as last object in the list but the problem persists.
Another hint: when I start the game, it pops the error message 3 times!