Normally, I would agree. I had the same dilemma and went with the CPCU after getting advice on these boards and from various people I know in the industry. However, since you are working the finance side and not UW or sales or claims, it might make sense to get the Masters:
1. Finance is flexible and the skills there apply to all industries. I know that insurance is a bit different in certain aspects, but you don't need a CPCU to learn those differences.
2. If you have trouble in the future finding a job in the insurance industry, your skills are easily transferable to a company in another industry in need of a finance person. Insurance UWs and salespersons generally don't have such a luxury and would have to rebuild their skill sets.
I will admit that I don't have much experience on the finance side of insurance, so if there are elements I am missing here regarding the required expertise of a finance person in insurance, please let me know.
Also, if you chose the CPCU path, it is nowhere nearly as rigorous or expensive as a Masters, but again, it really depends on what works for you. Just because it is cheaper or easier does not mean it is worthwhile necessarily.