Sorry, I cannot follow this... but in general, you should use MASTER mode when the MOXF is your master controller... doesn't seem like that is what you require it to do. Your description is too vague for me to answer... Sorry.

Well that's my bad. I have a VST host program (it does not have a sequencer) set up with few instruments on it (drumkit, guitar string and piano) and a midi controller (has both USB and MIDI IN/OUT) and a DP (just USB but I can get a converter). The midi controller has X-Y surface pad which I want to use it to modify the VOICEs on MOX/F and the same time, if necessary, to modify the VST parameters on the PC. MOX/F will be the sequencer, which plays a SONG from its memory.
So if I have recorded a SONG in MOX/F using 8 instruments I want 4 out of them to be played by VST so MOX/F should send MIDI signals to PC to trigger the VSTs. At the same time I want to be able to control the parameters of any of the VOICE's and VSTs at anytime using the MIDI controller and MOX/F. The DP is mainly for playing a VST piano but I want to connect all the pedals I have to either MOX/F or my midi controller. So for such setup, how can I take advantage of MASTER MODE? From this point on I'm not sure what to do... I read an article which says I can have 4 zones, which 1 will be assigned to MOXF itself. But is it necessary to have Zones defined here?

Sorry I can't help yo because you don't really tell us much. You are sending four tracks of the MOXF Out via MIDI to control VSTi - fine we can tell you how to send the tracks to MIDI OUTs on the MOXF (we cannot tell you how to solve the issue in the computer because you don't tell us anything about what's going on in the computer). We'll let you figure that part out.

In the MOXF once you have recorded you sequence tracks you can route them to internal MOXF Parts or to external Midi channels to trigger other devices. You must, however, be able to match the MIDI channel in the receiving device. (Depending on your VSTi this will be easy or difficult).

From SONG or PATTERN
press [F3] TRACK
Press [SF2] OUT SW
Here INT = ON will play an internal Part
EXT =ON will play an external device.

Set these as you require to trigger the device you want to sound I response to the data on the track.

Master mode would be used only in a case where YOU are playing and need to play more than one Part at a time from the MOXF keys.
That is obviously not what you want to do... So forget about Master mode.
Also plug your pedals and use the controllers on the keyboard YOU are playing (obviously) if you trigger the keys on a particular device it follows that the MW, pedals, etc of that device will control the device you are playing.

In general, i you are not using the MOXF as you master controller forget about using its Master mode.