Thanks for these reports.
For performance reasons, PlayMaker batches all OnGUI calls in a single OnGUI call from PlayMakerGUI. However, this doesn't work well with GUI.depth, so whenever you use Set GUI Depth all GUI calls from that FSM are pulled out of the batch and run in their own OnGUI, not by PlayMakerGUI.
This solution was a quick fix so users could still use GUI.depth, but it has some unforeseen consequences. E.g., Enable GUI turns PlayMakerGUI off/on which doesn't effect GUI not drawn by the PlayMakerGUI component!
I'll take a look to see if there are fixes for these problems. But you might want to also explore workarounds to avoid Set GUI Depth (for better performance too!).