I had difficulties with this too. My Bars were prefabs that needed to be instantiated and the solution i came up with was to add an FSM to that prefab that did the bar changing to itself then instead of setting it in another FSM, i sent an event to the bar itself that would make it do the changing itself.
FSMs on prefabs that reference their own objects (eg. a bar prefab that references its own bar script) will keep the reference for its own instance and not others. So that is a workaround...
I hope you get what i mean. Anyway, if you get any new actions that are more direct and don't require me to do it my way (fewer FSMs are always clearer to understand), then please post them up.