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The green On-Screen Display text in SetPoint can be edited/disabled in a couple of ways.

For SetPoint 4.72 (and before I think), all of the green OSD text can be disabled by unchecking the "Show status setting changes (such as Caps Lock) on screen" box in SetPoint settings -> Tools top tab -> Indicator Settings left tab.

In SetPoint 4.80, this setting changed to only work for the Caps Lock/Num Lock/Scroll Lock/Volume/Mute indicators, with no easy way to disable the Play/Stop/Next/Previous/etc indicators.

To disable these OSD indicators, you need to edit your SetPoint settings file by hand:

In this example, I will set the Play button on my K350 keyboard to not display any message on screen.
1. Right-click Close SetPoint from the system tray (to force it to save the settings to file)
2. Open the SetPoint settings folder: paste this in the Start -> Run dialog box: "%appdata%\Logitech\SetPoint" (including quotes)
3. Open the user.xml settings file in notepad
4. Search for the Play button block, it will look like this:

            <Button Number="786637" Name="Play">
               <Param IconLoc="Devices\Keyboard\CommonIcons\play" Type="HOTKEY"/>
               <Trigger Class="ButtonPress">
                  <Param Button="786637" FirstRepeatDelay="0" RepeatDelay="0" Silent="0" Type="0"/>
                  <TriggerState Name="ButtonDownUp" HandlerSet="MM PLAY">
                     <Handler Class="MMPlayer">
                        <Param Action="PLAY" OSDText="Play/Pause"/>
                     </Handler>
                  </TriggerState>
               </Trigger>
            </Button>

            <Button Number="786637" Name="Play">
               <Param IconLoc="Devices\Keyboard\CommonIcons\play" Type="HOTKEY"/>
               <Trigger Class="ButtonPress">
                  <Param Button="786637" FirstRepeatDelay="0" RepeatDelay="0" Silent="0" Type="0"/>
                  <TriggerState Name="ButtonDownUp" HandlerSet="MM PLAY">
                     <Handler Class="MMPlayer">
                        <Param Action="PLAY"/>
                     </Handler>
                  </TriggerState>
               </Trigger>
            </Button>

Note that if you change the button setting in SetPoint to something else and then back to Media:Play, you will have to repeat these steps to remove the OSD text again.

Another option would be to set the button in SetPoint to other -> Other:Generic Button, so that SetPoint releases control of that button completely and it will send the standard Play/Pause event to windows, without SetPoint's OSD. This may be preferable anyway, if SetPoint's Media:Play function doesn't work with your preferred media player.

If you just want to modify the OSD text a bit, the OSD font size/typeface/color be edited in:
C:\Program Files\Logitech\SetPoint\Macros\macrocore.xml
Edit the IDS_FONT_SIZE, IDS_FONT, and IDS_FONT_COLOR strings. There are a few other strings that are used for OSD, like IDS_MUTE_OSD for the text to display on screen for the Mute key.