I've already finished this step, and am very happy that my preferred recommenders -- including my supervisor -- are all very supportive. To be honest, I felt that time was running out on my applications, and so I just went ahead and did it. No role-playing, no prepared speech, no scripted plans beforehand. I just told each of them straight that I was planning to get my master's abroad (emphasis on planning), and there was a chance (just a chance!) of me leaving the company in the not-so-near future.
I searched online to see how other people dealt with this situation, and found a most interesting answer here from jaroth04:
I thought about this for a while myself, in the end this is what I came up with:
I understand that people and bosses differ in their interpretation of what it might mean to apply to business school. My boss asked me point-blank recently whether I'd be planning on continuing on with the company, and I told him, "At this point, I have no other choice: I haven't actually been admitted anywhere yet."
Again, your mileage may vary; I know that I personally wouldn't be happy working somewhere that didn't support my growth and advancement.
I hope this helps, this was one of the more stressful parts of the application process for me.
And I agree with him: working for a company that doesn't support your plans for career growth means that it isn't such a great company to work for after all!