No, the mastering step is definitely not necessary. You don't need to set in & out points either as this is for defining which slice of the recording to master.
He does say at 5:13 that you could just export tracks instead of selecting 'export master', so that's confirmed it should work like this. Did you check how big the FAT partition is? According to the manual page 82, the size depends on the size of the sd-card and how much is allocated for the MTR partition(s), so maybe you are exceeding the size and it's not letting you export tracks? Do you see a list of tracks for exporting as shown on page 99 (I attached an image of that page on the previous post)?
There are other points on page 47 & 48 about changing the active partition, which might explain why you can't see your song on the machine itself, so not sure if you've altered these. This might be a red herring as they are all MTR partitions. none of which are visible by a computer.
I would recommend starting again by formatting the card to make sure there are no other redundant files clogging it up, then make a small recording to test the workflow.
Update: Just had a thought. The FAT size shown on page 82 may just be the total size, as opposed to the space available. In which case, maybe your FAT partition is full - previous exports & master file etc. All your original recordings are safe inside the MTR partition(s) so you could just try reformatting the FAT partition (page 84), then seeing if you can export tracks.