This is unlocked after completing a Master Event, not just one Master Mode song. You have to have every song in you current setlist eligible for Master Mode, start the event, finish it and this should be yours.
A song is eligible for Master mode once every phrase is at 100% and you score 100,000+. An easy way to level phrases in a song is to use the Leveler in the Riff Repeater. Practice each phrase until you reach its highest level.
You can change what songs are in your current setlist when you go to continue journey go left on the menu (somewhat hidden) to the Event Manager.