Your code works fine on my machine. I don't know what is going wrong on your machine. Perhaps a reboot is in order.
Maybe you could try including a debug.print statement to find out what masters it is trying to match with
Code:
Sub SelectSimilarShapesByMaster()
Dim SelShp As Visio.Shape, CheckShp As Visio.Shape
If ActiveWindow.Selection.Count > 0 Then
Set SelShp = ActiveWindow.Selection(1)
If SelShp.Master Is Nothing Then Exit Sub
For Each CheckShp In ActivePage.Shapes
If Not CheckShp.Master Is Nothing Then
Debug.Print SelShp.Master, CheckShp.Master
If CheckShp.Master = SelShp.Master Then
ActiveWindow.Select CheckShp, visSelect
End If
End If
Next CheckShp
End If
End Sub