Another way to look at it in addition to what pmf explained is that "Master" can have different meanings. In one case, the word "Master" can indicate an important person which generally oversees or controls others. In other cases, "Master" can relate to the verb "to master" or to develop high skills for a particular task. "Pokemon Master" can be both such definitions: one who holds supreme control over other Pokemon, or one who has developed a high level of skill in playing the game/ raising the pokemon/ etc.
In general, or perhaps just because I've been taught to think such a way, I think the "skill" concept of master is less pervasive / more child-friendly than the "controlling/dominating" definition.
Mistress, however, is SOLELY the definition of "controlling/dominating" except in the female form. There is never any word of someone mistressing a skill. This is why, even though your statement was logical, I found it mildly amusing. And probably why Alex thinks it sounds odd.
pmf: I don't know yet if I'm going to watch it, I've been meaning to play the game but I keep putting it off for other stuff, although I should really play it soon... maybe after I finish these other 5 visual novels + 15 anime series I have backlogged...
EDIT: Correction! Mistress can also mean a lover. Of various types. But I'm sure that's not the definition people are looking for, either.