AFAIK at least on some European countries, especially in the east this is not so and used to be almost the opposite in the past. People are expected to upgrade from an engineer (~master) to a doctor (or a candidate of sciences first in some post-soviet countries) in parallel with their work as they gain real-life expertise and age. And in general I think it always is a great idea to study abroad (needless to say European universities are generally cheaper and easier to get in). So I think I would probably consider an European university if I were you.