A State machine uses three type of classes: An Interface class, a Manager class and several State classes. They can be designed to manage AI, Scenes, etc.
The Interface class and State classes don't inherit from Monobehavior. State classes inherit from the Interface class, and they must implement all methods declared in the Interface class.
At the graphic on the left, we can see two kind of objects:
Scenes (Scene0, Scene1, etc) are the graphical levels designed on the editor.
States (Begin State, PlayStateScene2, etc) are the classes created in Monodevelop.
IStateManager (Interface)
StateManager (Manager)
BeginState (State)
MainMenu (State)
PlayStateScene1 (State)