Hi, I am doing the same thing and I'm not sure what you mean when you say:
...you can set the "gameManager" object to the prefab. to a variable in the prefab.
I have three game objects, each with a FSM:
1) InputManager: This game object has an FSM called InputManagerFSM. It receives keypresses and passes them to a player object FSM using Send Event.
2) PlayerObject: This game object has the player model and an FSM called Player Mover which receives events from the InputManagerFSM and transforms the player object in space.
3) Level Manager: This game object has an FSM called PlayerSpawner which instantiates the PlayerObject prefab and stores it as a local variable "PlayerObject".
Per your advice, I'm using "Set FSM Game Object" to have the player object receive events from the input manager. I've attached an image of how Level Manager FSM is set up. Can you advise what I am doing wrong?