How to export / import the slide master (Captivate 9)

Theme consists of object styles (please set them up before editing master slides), master slides and skin. Although you can copy master slides from one project to another, it is indeed much better to save the Theme as a custom theme and apply that custom theme to the other projects. A theme has also a Theme Colors palette, it is great to keep the colors used in object styles and master slides in that palette. Color palettes can be saved separately as well. More info:

Colorful 2015 with Adobe Captivate - Captivate blog

Theme Colors - Captivate blog

Master Slides belong to a Theme.  If you want them to be added to another project, you need to create and save a Custom Theme, then import that Theme into your other project.