Hi,
I would like to confirm you that same behavior exists on latest application code for D365, so, I would like to suggest you to open a ticket with Microsoft support for further investigations.
As long as Kanban transfer is consistently being generated when a production order is manually estimated, there should be no reason why same thing should not happen for production order auto-firmed by the Master planning run.
By the way, Kanban transfers are not being generated even if planned production orders are being manually firmed.
Thank you very much.
Gabriel