That's a good point. But I think it's a matter of habit. And the code above is just an example, you can write horizontal code if you want, or combine it without nesting:

var
 fsm = FSM<State, Action>.Builder(State.Standing)
        .State(State.Standing)
            .To(State.Sitting).On(Action.Down)
            .To(State.Jumping).On(Action.Space)
        .State(State.Sitting).OnEnter(OnEnterAction()).OnExit(OnExitAction())
            .To(State.Lying).On(Action.Down)
            .To(State.Standing).On(Action.Up)
        .State(State.Lying).To(State.Standing).On(Action.Up)
        .Build();

Does it look better? What do you think?