This is a known issue, and will be fixed in the next release of the Standard version. See the bottom of the Release Notes here: http://trac.puremvc.org/PureMVC_AS3/wiki/ReleaseNotes
However, you might want to do some experimentation with the MultiCore Version.
It allows each SWF or Flex Module to have its own set of MVCF actors (a 'Core'). You will not have to remove all the Commands, Mediators and Proxies when you unload a SWF. You can remove the entire PureMVC Core for the swf by doing facade.removeCore().