When I create new states for the page - the master is gone. It appears only on the first state and not on the others. Is that how it works or am I missing something? (CS5, ver 11.1, Windows 7)
You can share a layer to states by using the Options menu (top right corner of the Layers Panel) or right-click the layer in the Layers Panel and select "Share to States."
When a layer has been shared to states, an icon that looks like a film strip will appear to the right of the layer name, and if you edit the objects on that layer the change(s) will appear on all shared states.
Fireworks assumes that the states you have created for separate pages correspond. So, the reason you are seeing the Master Page for State 1 of a given Page is that the Layers and Objects you created for the Master Page are on its State 1. If you create a State 2 for another page that is linked to the Master Page, unless your Master Page also has a State 2.
From Adobe Help:
In summary, state 1 of the master page shares to state of 1 all pages, state 2 of the master page shares to state 2 of all pages, and so on. If a regular page has more states than the master page, nothing is shared to those states from the master page until that state is created on the master page.
That option is also available through right click menu.