Aptly. That means the 'Master.ESM' to be removed is still referenced by the 'Slave.esp', so TES4Edit won't remove it via "Clean masters" as it would bork the plugin. If you can track down the referenced record(s), copy it/them into 'Slave.esp' and
manually remove 'Master.ESM' from the master list. Provided Oblivion.esm is the only other master of this plugin, everything should check out after a reload (R-Click 'Slave.esp' and "Check for errors" to verify).
Simply carving out 'Master.ESM' would have left unresolved references.