Cody Konior explains pre-requisites for installing Master Data Services for SQL Server 2016:
Microsoft’s list of MDS prerequisites doesn’t match their PowerShell installation script “sample”.
The sample installs the Application Server component which is not listed in the requirements.
The sample installs the Application Server NET 4.5 component even though it’s not in the requirements (it lists .NET Framework 4.5 Advanced Services, but a look through other versions of the OS would indicate that this is the plain .NET Framework 4.5 Features category; I suspect someone misread this as “Application Services”).
The sample installs additional “Application Development” components that are not listed in the requirements.
The sample doesn’t install the recommended Dynamic Content Compression component.
Basically, the sample needs updated and the documentation fixed. Click through if you’re planning to use MDS.