This is a [new feature of Unity 5.0][1].

In Unity 5, we’ve added Entry and Exit nodes to StateMachines. There are used during State Machine Transitions.

Entry: When you transition to a StateMachine, the animation system will evaluate the Entry node and branch to the destination that its conditions meet.

Exit: When going to the Exit node, the animation system will look at the outgoing StateMachine transitions and branch to the proper destination.

If you are using the latest version of Unity as you say, then that leaves options one or two. [1]: http://blogs.unity3d.com/2014/06/26/shiny-new-animation-features-in-unity-5-0/

This is a new feature of Unity 5.0.

In Unity 5, we’ve added Entry and Exit nodes to StateMachines. There are used during State Machine Transitions.

Entry: When you transition to a StateMachine, the animation system will evaluate the Entry node and branch to the destination that its conditions meet.

Exit: When going to the Exit node, the animation system will look at the outgoing StateMachine transitions and branch to the proper destination.

If you are using the latest version of Unity as you say, then that leaves options one or two.