Masters are the recording masters. If you own them you decide on where your music gets played or not, if it goes on compilation albums or not, if it goes on a streaming platform or not. Most artists don't own their masters, their labels do or they share ownership with their labels.

Prince was saying to Pink, that unless she owned her masters, then if they recorded a song together then the masters owner (prob her label) could decide how and where that song is used. And Prince had his own legal battle with a label in the past, so he obviously didn't want to record a song with Pink that a third party (her label) could make commercial decisions about.

The fact is that very few major pop stars own their own masters fully, this is why so few have stepped up to complain about Spotify. Nicki Minaj complained that she wasn't getting much money from Spotify streams, but she couldn't take action like Taylor and remove her music from them because she doesn't own her masters. Most pop stars are with major labels who own their masters and also own stakes in Spotify, so don't have the power to go to take their music from Spotify. Even many of the Tidal owners don't own their own masters fully and so cannot choose to go exclusive to Tidal, even if they wanted to do so.

Prince was very much someone who wanted to decide for himself where and when his music was available. So not on youtube at all or Spotify. Ownership of his music was important to him. He wasn't gonna record something with Pink, when the Masters for that recording would then be owned by another record label.