We may be stumbling yet again on the difference in common practice in the US versus common practice in many (most?) other countries.
In the US, a student who intends to pursue a PhD in physics normally enters a PhD program directly after finishing an undergraduate degree. Along the way, he can usually "pick up" a master's degree after completing a certain number of hours of coursework. In my case (at Michigan) this was an MS. At Boston it's apparently an MA. A master's thesis is not (normally) part of this process.
As V50 noted, if you finish the PhD, it doesn't matter whether you picked up the master's or not.
Also, one normally does not transfer from one school to another at this stage.
Many universities also have a "terminal master's" program which is separate from the PhD track. These programs do include a master's thesis, but they are not intended to lead into a PhD program. My impression is that these programs are mainly for "applied physics" areas (i.e. lead into industrial jobs), or for high school teachers who are upgrading their credentials.