I don't know what playmaker does. From NGUI's point of view, it simply displays what you tell it to. If you type in "hello\nworld" in inspector in Unity, the '\' and 'n' are two characters. They don't get translated to a new line, which is just one character. The code snipplet you pasted (label.text = oldText.Replace("\\n", "\n")

actually replaces the two character sequence with a single new line character.
So instead of setting label's text as "label.text = oldtext;", use the line above.