Yes, typically a condominium mortgage would require this policy - which is not the same as your homeowner's insurance. It is required for any Fannie Mae loan; see their policy on the subject, and other mortgage holders typically have similar policies.
AOL has a good explanation of the difference. What it largely comes down to is that in a condo, you don't own the structure; you own the interior, instead. So your condo homeowner's insurance only covers what's inside your condo, largely. The actual building itself, plus risks from (for example) someone slipping and falling in a common area (like the stairs or elevator), is covered by insurance maintained by the HOA (home owner's association, or similar body responsible for the maintenance of the property itself and any common areas).
You need to contact the president of your HOA in order to find out whether they are current on their insurance. The odds are pretty good that they are - or every other owner would have the same problem - but your lender probably just doesn't have the appropriate information; maybe they did an audit and their paperwork is missing. This happened to me after I refinanced; they "couldn't find" our homeowner's insurance policy a year or so later, and I had to prove we still had it (though it was the same). You will probably just need to fax them something.
If they aren't, though, you'll need to make sure they get current, and that could possibly involve legal action if they're unable to (for example, if enough owners are behind on their condo maintenance fees).
Regarding why they are contacting you and not the condo board:
the answer is in the question:
They then say that if I do not send them proof of the Condo Master
Policy (over 100 pages, by the way) with proof of insurance, then they
will forcibly buy hazard insurance for me and take it out of my escrow
Because you don't want to be forced to pay an extra couple of hundred a year you will contact the management company for the board, and get the paperwork, and send it to them. If the management company is unresponsive you will complain to the board and they will eventually respond. The lender doesn't have any leverage with the management company, plus your labor is free.